Thank you Hob!
However, here's what I've noticed and tried different:
I originally was overriding GlobalSetting's onRouteRequest method, where the corresponding method according to the new Play's infrastructure is routeRequest(..) on the DefaultHttpRequestHandler. By overriding that method, it still did not work for me.
Then, I tried overriding handlerForRequest on DefaultHttpRequestHandler, and that did it! The new request with the additional headers was successfully floating down to the routeRequest method and then to my route's implementing method, still keeping my new headers intact.
I looked and saw there was a corresponding onRequestReceived method on the original GlobalSettings class I was overriding. So, I went ahead, and overrode the onRequestReceived method there in my old implementation, and that also worked for me!
So, it was just about overriding the right method for the task I was trying to achieve. Thanks for your help, it eventually got my on the right path!