Not sure what to tell you about the heads except to have patience, but as far as the caterpillars, try bT. I call it the "wonder drug" for my garden LOL. It won't mess up any of the other good critters but does wonders for cutting down the munchers' population.
Hope this helps!
Edie

Here is a link that might be useful: bT Fact Sheet

I don't know where you are, but most places in zone 5 June is way too late and/or too early for broccoli. They don't head well in the summer heat.

Maybe yours will get a 2nd wind come cooler weather.

Agree that it is way too late for broccoli even in your zone. It is a cool weather, early spring crop long since harvested. Planting in mid-June is too late and the heat now will only cause it to bolt, not form heads. Try April next year or look up the Fall garden planting date for zone 5 and start some new transplants now for planting then.

Dave