Personally I draw mostly from the manga, but I will pull ideas from the anime I like/and or find useful.
Presea does not die.
Eagle does not die.
Eagle loves sweets (anime plucked headcannon there)
Alcyone did not survive to season two.
The Knights can come and go to Cephiro as they please.
Debonair did not happen, EVER, or Nova, that plot peeved me so much in the anime. I mean the whole first season pretty much is a deconstruction of 'there is only good, or only evil' and you always know which is which. And the season two of the anime...makes a thing that is wholly evil/not a person, therefore does not receive pity and can be killed/destroyed without regret. ugh, and the only way I put up with Nova existing is if the other two knights also create similar shadows. That fic I might read.
Personal headcanon though? Mine mostly relates to Autozam and that it went though a huge nasty civil war/ revolution not too far in the past where it went from a royal line/dictatorship to something akin the united states with a congress or parliament per say. It was not an easy transition either, the war that followed being a large contribution to the world's pollution and destabilization, though it was already doing that before the war, and may also being a some or the reasoning behind the start of the war. I could go on for days about Autozam's political state, haha.