You'll get lower drag by omitting the bearing cage. Those are there exclusively for ease of assembly and assembling a headset with loose bearings is still pretty dang easy. Only you can determine if the amount of drag acceptable. Drag at no play is determined by the accuracy of the preload adjustment and the condition and uniformity of the bearings and their races.

You can usually replace the bearings in bearing cage but you might have deformed the cage just enough to introduce additional friction.