You should use the 'AddHeaderToNextRequest' Java Action to add the Authorization header to the request
See the following link for more information:
Our Client want's to use X-Authentication tokens. Is there a way to do this from the REST module?
Are you publishing or consuming a Rest service? For sending those tokens, see Pauls answer, use the 'AddHeaderToNextRequest`, for publishing services with custom authentication, see https://github.com/mendix/RestServices#securing-published-services, it is possible to extract the token from the request in the authorization microflow, and authenticate on that one