Add request init headers defined on the sse transport on the start phase

[danielgek]

This pr adds the headers from the transport instantiation into the start procedure to on sse(this already happens on the httpstream transport)

Motivation and Context

If i want to use sse transport and send a token for the authentication i need to have the token on the start phase

How Has This Been Tested?

This has been tested in a real application

Breaking Changes

I don't think there is breaking changes

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Documentation update

Checklist

• I have read the MCP Documentation
• My code follows the repository's style guidelines
• New and existing tests pass locally
• I have added appropriate error handling
• I have added or updated documentation as needed

Additional context