i just did a test of inserting a meaningless header into the response, by adding the add_header directive into the various levels of the nginx config, beginning with http, then server and then the location that i have setup to focus on mp4 files.
i found that the header is successfully inserted inside the http and server blocks, yet when i request an mp4 file via curl, the header is not returned.. which suggests to me that the location block i am using is dysfunctional in some way.
currently i am using the block below, though i have used various other versions which also failed.
location ~ \.(mp4|mp4a)$
{
add_header "name" "value";
}