From a Squared set, if the Heads are asked to do the call, they end in the middle ONLY if the call requires them to work with the other Head Couple. That is, if the call is a 1-dancer call, or a 2-dancer call that does not require them to work with the opposite, they do not move into the middle. I.e., Heads Partner Tag or Heads 1/4 Right ends in an "O".
Also, I dislike calls from a Squared Set such as "Heads Once Removed Split Square Thru" since I believe they are illegal. I'd rather prefer the caller to say "Heads move in (or Press Ahead)" followed by the call.