See eg
http://www.thaindian.com/newsportal/world-news/mumbai-terror-suspect-headley-pleads-not-guilty_100310735.htmlThat's why the change in plea isn't relevant to him being charged in the US - because it happened long after the charges.
Yeah, he's accused of being complicit in the killings in the US charges too. However, note that they say he's cooperating. That's what the US has got out of this, rather than just the chance to execute him:
Headley, who had faced possible execution for causing the deaths of U.S. nationals, pleaded not guilty before a federal magistrate in Chicago on Jan. 27. By that time, prosecutors and his lawyer, John Theis, had said he was cooperating with the U.S. government.
“We think it’s important to note that from the day of his arrest, he began cooperating with the government and provided substantial assistance in the investigation of this case and provided significant, critical information regarding intelligence on other matters,” Robert Seeder, an attorney for Headley, said after today’s hearing.
Headley cooperated with the government for 13 days, without assistance of lawyers, after he was arrested even though he had been advised that he had a right to remain silent, Seeder said. Headley’s disclosures helped the U.S. and other countries, Seeder said.
“We believe it is fair to say that his cooperation has potentially saved the lives of hundreds, if not thousands, of people,” Seeder said. “And his cooperation is going to continue throughout the remainder of this case.”
http://www.bloomberg.com/apps/news?pid=20601110&sid=an_3T3w3RN4AThis is more productive than waterboarding, or executing him and having someone paint him as a martyr.