The native functionality is quite limited. However, if you use the REST module from the appstore (https://appstore.home.mendix.com/link/app/997/Mendix/Rest-Services) there is an action: getResponseHeader that you can use to access the response headers.
You can either use it to fetch all the (known) keys, or you have to tweak it in order to retrieve a list of headers, and filter in the MF to find the key.
Accesssing HttpStatus and HttpHeader are not supported in Mendix 6.10. It will be available in Mendix 7 release.
As for workaround, you can try REST module as suggested by Rik Bos.