Is your feature request related to a problem? Please describe.
For inspector UI Mode, configuration of Authorization Header for Remote SSE URL has been already supported currently. However mcp config file do not support defining Authorization Header in CLI Mode.

Describe the solution you'd like
Example mcp config support defining http headers:

{
  "mcpServers": {
    "xxxx_mcp_server": {
      "url": "https://mcp.example.com/sse",
      "headers": [
        "Authentication": <my-token-here>
      ]
    }
  }
}

Additional context
Add any other context or screenshots about the feature request here.