You have not made a request yet. Headings are added here when you make a request.
An alternative way to add headers is to use query filters, for example:
client.RequestFilter = httpReq => { httpReq.Headers.Add ("X-Parse-Application-Id", "XXXXXX"); httpReq.Headers.Add ("X-Parse-REST-API-Key", "XXXXXX"); };
Which actually does the same thing.
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