Im trying to change all my ASP MVC HTTP response headers to have another value by default for implementing Pingback auto-discovery in my blog application.
The defaul
This may or may not work (obviously if it doesn't I'll delete the answer for future users). It sounds like from the exception Operation is not supported by this platform, that Cassini many not support custom headers (which would be quite strange, but a possibility). What I would suggest is to make sure you are using Visual Studio 2010 SP1, then install IIS Express (which is an upgrade to Cassini and is much more like real IIS), and then switch your project to use IIS Express and see if you get the same exception.

Additionally, you may want to review Why does HttpCacheability.Private suppress ETags? as it may also give you an alternative solution.