If the races and threads and locknut flats on the headset are still good, there's really no good reason to change it, unless you might be having problems keeping it to stay in adjustment, which sometimes happens with some headsets because of a physical flaw on it. Whether one goes for loose or caged balls, on a new headset, my statements above still apply. But going with new bearings everytime you service the headset can be a good preventative measure. Anyway, bearings are cheap.
If you find out you do need to replace the headset, make sure you check the condition of the headstock faces and if there might be any ovalization of the openings, as could sometimes happen with some frames if the headset is ridden too loose for long periods....