Don't! A sequence header may be useful for users whose systems don't pass on the ‘Return-to:’ header to the MUA.
Use DIR/headeradd with a header of the type ‘X-Sequence: <#n#>’.
Bounced messages are identified by their local message numbers, i.e. when ezmlm sends you a message about which messages bounced, it refers to the message number of the sublist. To be consistent with these numbers, and a local sublist archive, use DIR/sequence on the sublist, not the main list. To get consistent message numbering in digests, digest have the message number of the first message in the digest.
ezmlm-idx tries to make message numbering problems with sublists a little easier: sublists use the incoming message number, but only when the sublist is not archived and not indexed. This restriction is necessary for security reasons. Otherwise, an attacker could wreak havoc in the local message archive by sending messages with faked message numbers in the SENDER.