Add headers to HttpRequestResponse in OpenAI client.

[sunishsheth2009]

What changes are proposed in this pull request?

Adding headers to HttpRequestResponse when making http_request

Why?
Basically we need the response headers that is used in the MCP spec: https://modelcontextprotocol.io/specification/2025-06-18/basic/transports#session-management
Specially Mcp-Session-Id header.

How is this tested?

%pip install git+https://github.com/sunishsheth2009/databricks-sdk-py@sunish-add-headers
import requests
import uuid
from databricks.sdk import WorkspaceClient
from databricks.sdk.service.serving import ExternalFunctionRequestHttpMethod

# Step 1: Initialize session
init_payload = {
    "jsonrpc": "2.0",
    "id": "init-1",
    "method": "initialize",
    "params": {}
}

init_response = WorkspaceClient().serving_endpoints.http_request(
  conn="github-u2m-managed-connection",
  method=ExternalFunctionRequestHttpMethod.POST,
  path="/mcp",
  json=init_payload,
)

session_id = init_response.headers["mcp-session-id"]
if not session_id:
    print("No session ID returned by server.")

print(f"✅ Got MCP Session ID: {session_id}")


Output:
✅ Got MCP Session ID: 53220122-015c-4e2b-9edb-47580cefffd0

[renaudhartert-db]

@hectorcast-db, can you think of something better given the current libraries? Not using the underlying API method is really not ideal but I can't think of a better alternative with the code that we have right now.

[github-actions]

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Inputs:

• PR number: 1006
• Commit SHA: b7c44e34003fa5690d6b1d493e542ee257c8ec33

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