urllib: add support for capturing request and response headers (#4051)

* urllib: add support for capturing request and response headers

* Apply suggestions from code review

Co-authored-by: Lukas Hering <40302054+herin049@users.noreply.github.com>

* Cleanup type

* Fix handling of headers in instrumented Opener.open

* Add missing support for new style annotations

* Add changelog

* Add note about limitation of captured headers

---------

Co-authored-by: Lukas Hering <40302054+herin049@users.noreply.github.com>