Set x-ms-correlation-request-id

## Enable a way to get or set the Http request header x-ms-correlation-request-id

The ask is to provide a mechanism to set a value in the http header when a rest full call is made to ARM by a cmdlet invocation. We need a guarantee that all the restful calls associated with any cmdlet call will set the header if specified. Thus this invocation this will impact all cmdlets available that talk with ARM. Two invocations of the same cmdlet happening “at the same time” can have distinct values in the header.
For now, we are looking to set the **x-ms-correlation-request-id** value in the header. Maybe they want to make it generic so we can pass a key/value pair and set other values later.