We’ve been testing WPEngine and Pantheon and they both perform great regarding Headless, so whichever you choose I think it’s gonna be fine. We have set up different sites and it was pretty straightforward in both cases. Actually, our web frontity.org is hosted on Pantheon using the Embedded mode and test.frontity.org and its demos twentytwenty.frontity.org and mars.frontity.org are hosted in WPEngine.
Having said this, I would recommend you to choose the one that fits you better in terms of a traditional WordPress hosting (there are a lot of comparisons out there), because they both suit for Headless and Frontity.
If you have any specific question, feel free to share it .