Honum er illt í höfðinu af því að hann bælir einmanaleikann.

Questions & Answers about Honum er illt í höfðinu af því að hann bælir einmanaleikann.

Since the lesson is about long-distance reflexivization, why do we use hann in the second clause instead of a reflexive pronoun?
Long-distance reflexivization (using sig/sér/sín to refer back to the subject of a previous clause) usually requires the subordinate clause to be in the subjunctive mood. The conjunction af því að (because) takes the indicative mood (bælir). Because the verb is indicative, long-distance reflexivization is blocked, and we must use the regular pronoun hann.
Why does the sentence start with the dative pronoun Honum?
Physical ailments and pains in Icelandic often take a 'quirky subject' in the dative case. The phrase er illt (is painful) requires the person experiencing the pain to be in the dative. So, Honum er illt literally means 'To him is painful,' but Honum acts as the grammatical subject of the main clause.
Why is it í höfðinu (in the head) rather than using a possessive word for 'his head'?
In Icelandic, when referring to body parts, you typically use the definite article rather than a possessive pronoun if it is already obvious whose body it is. Since Honum (he) is the one experiencing the pain, höfðinu clearly refers to his own head.
The English translation says 'his loneliness'. Why isn't the reflexive possessive sinn used here, like einmanaleikann sinn?
You certainly can use the reflexive possessive sinn here, but it is not strictly necessary. Just like with body parts, Icelandic often uses just the definite article for personal states or abstract feelings when the context makes it obvious whose feeling it is. Saying einmanaleikann (the loneliness) in this context naturally translates to 'his loneliness'.

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