You could use the ProcessQueue module from the AppStore. When you receive a message, you create a task in the ProcessQueue module and send an OK to the caller. Then, when you handle the message in the process queue, you call a web service from the calling system, notifying it of the result of your processing.
What I understand is you want to be able to correctly handle a wsa:relatesTo header sent by the client. Pretty sure Mendix can't do this by default. I doubt it will ever be implemented as a feature, as asynchronous webservices are pretty unpopular afaik.
What you could do is implement the webservice yourself using a Java RequestHandler.