It would appear that there are already at least two plugins that take care of this for those who'd like to do so before it's rolled into the WordPress core:
You don't need a plugin for this (every plugin is a security risk). You only need to send one single http header.
True, but modifying core files to send the header isn't good either because you'll have to redo the change at every update. Also, most security plugins such as Wordfence will choke on a modified core file, and rightly so.
You can chuck the same hook (as seen in the original link) into your theme's functions.php file. Or make your own plugin to hold miscellany.
Or you can set the header in your web server configuration.