May I ask why I can’t just use _CFHTTPMessageSetResponseURL() in my code?
It’s not public API, so it could change or go away without warning in any OS release, even a minor dot-dot update, breaking your app. (If the function is removed, your app won’t even launch at all, unless you’re very careful to look up the function dynamically.)
(From Apple’s perspective, apps that use private API make it harder for them to update the OS, because they don’t want to have to break 3rd party apps. In some cases with popular apps, Apple engineers have to put nasty hacks into the system frameworks to preserve functions those apps are not supposed to be using. So Apple really doesn’t like developers using private API.)
Also, you won’t be able to sell the app through the Mac App Store, as Apple’s review process will automatically reject any app that calls non-public APIs.