Is it possible to create Header's and Sub-headers within a value list, while using the checkbox feature? I don't want the Headers to have a checkbox next to them either.

No. But you can split your values into individual value lists and use several instances of the field on the layout.

Are you suggesting that I have a field shown, say 3 times, and have a different value list for each? (Field=Error w/value list 1; Field=Error w/value list 2; Field=Error w/value list 3).

Yes. That way you can have text labels next to each one, with the name of the category.

Thanks. I created a test file, and it works great. However if I export the data to excel, only the error from the first "error" field shows up. Any thoughts on this?

Are you sure about that? I see no such issue with exporting. I do see that when you Save/Send records as Excel, there are duplicate columns, but they all have the same correct data.