The workaround for me was to use a SOAP / XML-RPC Request Sampler instead of a WebService (SOAP) request. This sends the configured request headers to the server.
After that, I found out that the incoming compressed response was not unpacked, so I filed an error in https://issues.apache.org/bugzilla/show_bug.cgi?id=48542 and created a patch. The bug is fixed in the trunk and should be included in the current nightly build.
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