I studying Kumo-MTA to see if it can replace my actual MTA, I read the doc but found nothing.
I would like to know if it’s possible to add specific header (I think yes but I didn’t find how)
I would like to add:
Hey there @positive-lynx, thanks for posting. Please read the “Troubleshooting” and “How to Ask for Help” buttons below. If you would like a 1:1 support session from the KumoMTA team, details are at the “Book a Support Session” button below.
Yes, it’s possible. You can add those headers in smtp_server_message_received and http_message_generated using message:append_header().
Thanks 
Not only can you add any headers you like, you can remove them too. You can also collect all headers into an array and manage them programatically.
There is quite a bit of documentation around message handling in there.
Further, We provide native FBL handling in the product:
which file we have to make this entry ?
This all happens in init.lua. Usually in the smtp_server_received or http_message_generated events.