Apparently there's no mechanism for creating a Head of Church for a religion that doesn't start with one. My priest didn't even show up on the Religion window anywhere.
Yeah, I know... I'd love to set up my own "Norse Church Head" as well. He wouldn't even have to do anything, just hold some land in, like, Sweden and exist. Would be some nice flavor to add, especially since I've effectively turned Norse into the third dog in the race with Christians and Muslims.