You can’t edit an embedded section. Even if you tried with an existing header in an existing note, you wouldn’t be able to edit that section within the current document.
You would always need to open up the other document before you can edit it. (As long as you don’t have some rather esoteric plugin installed).
So if I read your question correct: No, you can’t embed a link to a new heading in another file, and expect to edit it within the active file. And no, you can’t create the heading by specifying a link to it, and clicking on the heading.