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The method WebResponse::header() is a wrapper for PHP's built-in function header() that sends HTTP headers. This then often leads to code like:

$wgRequest->response()->header('HTTP/1.1 404 Not Found');

which means a lot of work with (global) objects that could be done so much easier with

header('HTTP/1.1 404 Not Found');

Not only does this save object calls and thus improves speed, it's also much easier to read if you ask me. There are no features lost, as this is really just a wrapper method.