man curl:

   -H/--header <header>
          (HTTP)  Extra header to use when getting a web page. You may specify
          any number of extra headers. Note that if you should  add  a  custom
          header that has the same name as one of the internal ones curl would
          use, your externally set header will be used instead of the internal
          one.  This  allows  you  to make even trickier stuff than curl would
          normally do. You should not replace internally set  headers  without
          knowing  perfectly well what you're doing. Remove an internal header
          by giving a replacement without content on the  right  side  of  the
          colon, as in: -H "Host:".

          curl  will  make sure that each header you add/replace get sent with
          the proper end of line marker, you should thus not  add  that  as  a
          part  of the header content: do not add newlines or carriage returns
          they will only mess things up for you.

          See also the -A/--user-agent and -e/--referer options.

          This option can be used multiple times to add/replace/remove  multi-
          ple headers.

Example:

curl --header "X-MyHeader: 123" www.google.com

You can see the request that curl sent by adding the -v option.

Because that’s how the POSIX standard defines a line:

3.206 Line

A sequence of zero or more non- <newline> characters plus a terminating <newline> character.

Therefore, lines not ending in a newline character aren't considered actual lines. That's why some programs have problems processing the last line of a file if it isn't newline terminated.

There's at least one hard advantage to this guideline when working on a terminal emulator: All Unix tools expect this convention and work with it. For instance, when concatenating files with cat, a file terminated by newline will have a different effect than one without:

$ more a.txt
foo
$ more b.txt
bar$ more c.txt
baz
$ cat {a,b,c}.txt
foo
barbaz

And, as the previous example also demonstrates, when displaying the file on the command line (e.g. via more), a newline-terminated file results in a correct display. An improperly terminated file might be garbled (second line).

For consistency, it’s very helpful to follow this rule – doing otherwise will incur extra work when dealing with the default Unix tools.

Think about it differently: If lines aren’t terminated by newline, making commands such as cat useful is much harder: how do you make a command to concatenate files such that

1. it puts each file’s start on a new line, which is what you want 95% of the time; but
2. it allows merging the last and first line of two files, as in the example above between b.txt and c.txt?

Of course this is solvable but you need to make the usage of cat more complex (by adding positional command line arguments, e.g. cat a.txt --no-newline b.txt c.txt), and now the command rather than each individual file controls how it is pasted together with other files. This is almost certainly not convenient.

… Or you need to introduce a special sentinel character to mark a line that is supposed to be continued rather than terminated. Well, now you’re stuck with the same situation as on POSIX, except inverted (line continuation rather than line termination character).

_{Now, on non POSIX compliant systems (nowadays that’s mostly Windows), the point is moot: files don’t generally end with a newline, and the (informal) definition of a line might for instance be “text that is separated by newlines” (note the emphasis). This is entirely valid. However, for structured data (e.g. programming code) it makes parsing minimally more complicated: it generally means that parsers have to be rewritten. If a parser was originally written with the POSIX definition in mind, then it might be easier to modify the token stream rather than the parser — in other words, add an “artificial newline” token to the end of the input.}