I have first hand experience with drilling the lanai headers. I also have copies om my house plans. As stated above, these are U shaped 1/8 inch steel channels filled with concrete and rebar. When I went to install shades, I had to use multiple bits. First a concrete bit to get through the stucco. Then a high speed steel bit to get through the 1/8 inch steel trough. Followed by the concrete bit to get to the correct depth of the insert. I then installed the plastic expansion plugs and screws to hold the shades. I actually used different size drill bits, small ones to act as pilot holes, then the correct size for the inserts. I also used a glue on the plastic inserts to make sure they were not coming out. It took several minutes per hole.
A word of caution, the steel bits will dull very quickly if they come in contact with the concrete. So I had to sharpen the bits several times as I was drilling. If anyone would lie to discuss this, send me a PM with your phone number and I will gladly give you a call.
Hope this helps.
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Pennsylvania, for 60+ years, most recently, Allentown, now TV. 
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