@gancw
I don't know much about Power BI, but this isn't really a question about Canvas as much as a question about Power BI. Because of that, I searched the web for your issue (not including Canvas in the search terms) and found people who had the same problem and the solutions that were given to them.
I found Retrieving headers from API response using Value.Metadata that describes the same issue you're having, including the headers. It linked to a solution at Retrieve API response headers that quoted another site that says Power Query, by design, does not allow you to see the response headers of your requests.
They offer suggestions such as creating a custom connector or using WebMethod.head() or Odata.Feed(). If those don't work, then Python or R scripts were suggested.