Cloud Secure Web Gateway (Cloud SWG) offers header modifications functionality - for both request and response headers (as mentioned in the Configure Cloud SWG to Modify Headers).
In the Cloud SWG portal however, only "Group A - Request-based" is visible:
Environment
Cloud SWG, default configuration with policies managed in the portal.
Resolution
In order to create response header modification rule, these steps need to be followed:
Click on "Add Rule" and then on top-right click on "Move to Group B"
Configure the requested conditions and verdict and click on "Add Rule" and then "Activate Policy" on top-right corner. "Group B - Response-based" section will appear with the new rule created: