Problem with modify request header

When do I try to use proxy_set_header for modify request header nothing happens. I don't understand why.
I use proxy_set_header in location context

location ~* /GadgetServices {
proxy_pass https://csw_backend_upstream;
proxy_no_cache 1;
proxy_cache_bypass 1;

proxy_set_header X-UWF-FinesseHost "server_name:8445";

add_header Strict-Transport-Security "max-age=31536000; includeSubDomains; preload";
}