I don't believe that Bing supports the HTTP header version of rel="canonical". They do technically support the link attribute (their comment about it being a "hint" was from 2009) - Duane confirmed that last year (I asked him point blank). Although, honestly, experiences vary and many SEOs claim that their support is inconsistent even for the link attribute.
Honestly, when it comes to canonicalization, when in doubt, try it. The worst that can happen in most scenarios (implemented properly) is that it just doesn't work.
Out of curiosity, why are your trying to use the HTTP Header version. Is it a non-HTML file (like a PDF)?