web.header only works in built-in server

[ob]

Repro:
1.hello.py
....
class hello:
    def GET(self):
        web.header('Set-Cookie', 'a=b;')
        return 'test header'
.....
2.python hello.py, visit http://localhost:8080/, check the header, it works
3.use flup+spawn-fcgi+nginx, visit the page agin, check the header, it doesn't work