Yes, the special versions where dextrins are able to resist mashing probably give more head retention. If you are just steeping under conditions where there is no diastatic power from base malts present, cara -type malts will contain longer sugar chains and they will probably be more effective than crystal malts that are higher in short, sugary compounds. If mashed, among cara -type malts I think darker malts would produce less fermentable worts when mashed so I would guess they could potentially contain more compounds that could increase head retention compared to lighter versions. There is also wheat crystal malt (or toasted wheat malt) that is probably good for head retention, because it contains more protein (and some maltsters also say it is good for head retention).
But honestly, if you consider adding these grains in a recipe, there are much more important things and differences between these malts to consider than the minor difference in head retention capability. If you want more head retention, you could consider adding 6% of wheat base malt to the grain bill or something like that and choose the special malts based on other properties such as flavors, astringency and color.