By default, the HTTP(S) XRD files are loaded by XML_XRD internally using file_get_contents.
If you want to set custom HTTP request headers or modify redirection handling, you may use an own HTTP adapter that will be used to fetch the files:
<?php
require_once 'HTTP/Request2.php';
require_once 'Net/WebFinger.php';
$req = new HTTP_Request2();
$req->setConfig('follow_redirects', true);//needed for full compatibility
$req->setHeader('User-Agent', 'MyApp 1.42');
$wf = new Net_WebFinger();
$wf->setHttpClient($req);
$react = $wf->finger('foo@example.org');
?>