On a bmx headset could an integrated bearing set be replaced with a caged bearing set?
Pictures would help here, but I am 95% sure that you won't be able to do that because there is no race for the caged bearings to ride on.  Sealed bearings have the race built in and the frame/headset will have a shoulder that the bearings butts up against, but not a race.
The other issue you will run into is that most sealed bearings are press-fit and the fork tube and headset will be sized accordingly.  You can't press-fit a caged bearing... 
Bottom line:  No.