Unfortunately still does not work for me (Postman 6.7.1, linux-4.15.0-48-generic on x64 / Ubuntu 18.04). At the level of pre-request script the additional header is successfully added to the headers collection, however it is somehow lost in the final, sent request. Which would be actually coherent with what the documentation says about request object:
This object is read-only. Changing properties of this object will have no effect.
Has something changed in the implementation recently?