Hello Master Lee. While shopping for bed frames I noticed that many designs have a gap or open space where the mattress goes under the headboard. Headboards that completely block the mattress from the wall are actually very rare. I included an example picture below to show what I mean.

My guess is that this a very minor or non-issue since the mattress would cover the gap completely, so the headboard is not visibly "open." Am I thinking about this correctly?

Yes, on my opinion also, it is a non-issue.

Furthermore, Feng Shui does not micro-manage this area.

As such designs are pretty common: Based on common sense to cater for the thickness of a standard mattress.