Hello Shaik,
You need to pass Navigation Property defined between Header and Item in the payload to trigger Create_Deep_EntitySet.
In your Payload its mentioned as ' ITEM ' as below instead of ' Model_Mod_ItemSet '
rel="http://schemas.microsoft.com/ado/2007/08/dataservices/related/ITEM"
Please maintain as below.
rel="http://schemas.microsoft.com/ado/2007/08/dataservices/related/Model_Mod_ItemSet"
For the same payload use the above line and check again.
Regards,
Ashwin