Can Sensitive Information Scans also scan HTTP headers?

You mean in the response headers?

Indeed. I just spotted an X-Powered-By header there, with a few version numbers in it - something that you wouldn't necessarily want to show up when a hacker tries to find a way into your system...

Not sure if you got already what you wanted.
Please see if this helps, where you get the raw message and do some assertions
http://learnsoapui.wordpress.com/2011/0 ... -response/