add cf-connecting-o2o note (#25818)

Author: kbitr

src/content/docs/cloudflare-for-platforms/cloudflare-for-saas/saas-customers/how-it-works.mdx

@@ -36,7 +36,7 @@ DNS management for **example.com**
 
 </Example>
 
-With O2O enabled, the settings configured in your Cloudflare zone will be applied to the traffic first, and then the settings configured in the SaaS provider's zone will be applied to the traffic second.
+With O2O enabled, the settings configured in your Cloudflare zone will be applied to the traffic first, and then the settings configured in the SaaS provider's zone will be applied to the traffic second. In the SaaS provider-owned zone, a HTTP header will be set to `cf-connecting-o2o: 1`.
 
 ```mermaid
 flowchart TD