Well, I am actually doing a multiplayer j2me right now - and was quite sure that headers was being done by the gateway - I'll try to investigate this today...
This is the headers from a request to one of our servers
accept: text/x-vcard, text/x-vcalendar, image/vnd.wap.wbmp, */*, image/gif
accept-charset: ISO-8859-1, UTF-8; Q=0.8, ISO-10646-UCS-2; Q=0.6, US-ASCII; Q=0.7
user-agent: Nokia7250I/1.0 (3.22) Profile/MIDP-1.0 Configuration/CLDC-1.0
x-wap.tod-coded: Thu, 01 Jan 1970 00:00:00 GMT
Via: WTP/1.1 abnws01.sonofon.dk (Nokia WAP Gateway 4.0/ECD5/4.0.49)
if this were to be send by the device each time a connection is done, there would be an overhead of ~ 800 bytes PER CONNECTION!
Thats certainly not what my phone is telling me after a GPRS session is done...