The urllib instrumentation api is built on top of http.client. Some of the request headers are added in this lower layer and are opaque to the current urllib instrumentation. I don't think that's an issue for most of the people as the higher level libraries we already instrument should have a lot more usage.
An option would be instrument the http.client module instead that but then we are going to limit only to http/https protocols and we would have to be sure we are exporting the very same telemetry.