Why I cant see italic font at the header?

For some reason, David CLM does not seem to contain Latin glyphs with an Italic shape. As an additional oddity Miriam Mono CLM slants in the opposite way to the other two fonts.

In your question, you have set the default language to Hebrew and the default font to David CLM. So this is what you get in your header. If you want English in your header and the default English font of Latin Modern Roman, you could use: \lhead{\textenglish{aa\emph{aa}}}, but then you won't get Hebrew if you want it of course.

Also, note that scrartcl gives a warning not to use fancyhdr with this class. KOMA-Script has its own way of customising headers and footers.

Have a look at this test to see what is going on:

\documentclass{article}
\usepackage{polyglossia}
\setdefaultlanguage{hebrew}
\newfontfamily\hebrewfont{David CLM}[Script=Hebrew]
\newfontfamily\hebrewfonttt{Miriam Mono CLM}[Script=Hebrew]
\newfontfamily\hebrewfontsf{Simple CLM}[Script=Hebrew]
\begin{document}
\LR{David CLM}
\medskip

עברית \LR{Latin (Upright)}

{\itshape עברית \LR{Latin (Italic)}}

{\bfseries עברית \LR{Latin (Bold)}}

{\bfseries\itshape עברית \LR{Latin (Bold Italic)}}

\bigskip
\sffamily
\LR{Simple CLM}
\medskip

עברית \LR{Latin (Upright)}

{\itshape עברית \LR{Latin (Italic)}}

{\bfseries עברית \LR{Latin (Bold)}}

{\bfseries\itshape עברית \LR{Latin (Bold Italic)}}

\bigskip
\ttfamily
\LR{Miriam Mono CLM}
\medskip

עברית \LR{Latin (Upright)}

{\itshape עברית \LR{Latin (Italic)}}

{\bfseries עברית \LR{Latin (Bold)}}

{\bfseries\itshape עברית \LR{Latin (Bold Italic)}}
\end{document}