Q:
transmutting starter headpiece..no rune slot?
That seems odd. Perhaps try transmuting the Wraith Masque with another helm first – just any cheap-o white or blue, then transmute the result with your exotic, that might fix it. But if you accept the direct transmutation in your screenshot, you WILL lose the rune.
One thing to try is to stick a basic gem or something into the starter piece. When you combine them, then you can choose the superior item (in this case, the rune) to keep.
The starter piece can’t have a gem. Transmute it to a worthless item with a blank slot. Then transmute it again to the item you want and see if it works. This is what I did for the thief hood.