feat: Add setHeader option

[gurgunday]

PR Checklist

Please check if your PR fulfills the following requirements:

• The commit message follows our guidelines: https://github.com/nestjs/nest/blob/master/CONTRIBUTING.md
• Tests for the changes have been added (for bug fixes / features)
• Docs have been added / updated (for bug fixes / features)

PR Type

What kind of change does this PR introduce?

• Bugfix
• Feature
• Code style update (formatting, local variables)
• Refactoring (no functional changes, no api changes)
• Build related changes
• CI related changes
• Other... Please describe:

What is the current behavior?

Issue Number: #2172

What is the new behavior?

Adds a setHeaders option to disable headers

Does this PR introduce a breaking change?

• Yes
• No

Other information

[gurgunday]

@jmcdo29 can you take a look? It would really help if this was merged as soon as possible :)