Well, headsets do get damaged/worn once in a while, so there's a reason why they're replaceable. With a welded(or more probably brazed) headset cup, that option goes out the window - unless you fancy a repaint to go with the otherwise quick fix of a headset replacement.

It might mean that the head tube had started to crack, and that a previous owner had the cup brazed to prolong the use of the frame. Or maybe an earlier head-on collision had flared the headtube to the point where the cup wouldn't seat properly any more. Or someone made an ugly attempt at overcoming the ISO/JIS difference in head tube diameters.
But if the bike worked before, there's no reason why it wouldn't work after the repaint. As long as you're aware that you're stuck with that headset, for better or worse, until the next respray, go for it.