I'm aware that this is a old question but still a Unsolved question. So, here is a answer that might helpful to you.
The standard Salesforce Classic header and sidebar are always suppressed for pages when they’re displayed in Lightning Experience. In particular, the showHeader and showSidebar attributes of <apex:page> have no effect on Visualforce pages when displayed in Lightning Experience. Please find below link for more information: https://trailhead.salesforce.com/en/lex_dev_visualforce/lex_dev_visualforce_known_issues
I'm aware that this is a old question but still a Unsolved question. So, here is a answer that might helpful to you.
The standard Salesforce Classic header and sidebar are always suppressed for pages when they’re displayed in Lightning Experience. In particular, the showHeader and showSidebar attributes of <apex:page> have no effect on Visualforce pages when displayed in Lightning Experience.
Please find below link for more information:
https://trailhead.salesforce.com/en/lex_dev_visualforce/lex_dev_visualforce_known_issues
Let me know if that helps you.
Best Regards,
BALAJI