I found that activating the option to allow Client-Side Cache does change the response headers, but it is actually not enough to make it work.
The response headers for my front page with Client-Side Caching switched off (default) included:
Expires: Wed, 11 Jan 1984 05:00:00 GMT Cache-Control: no-cache, must-revalidate, max-age=0 Pragma: no-cache
and after switching the option on, it changed to:
Expires: Tue, 31 Dec 2013 13:21:58 GMT Cache-Control: max-age=0
(note that the expiration date is the request time, not somewhere in the future)
Sadly, this still does not actaully allow any caching because this implies a revalidation action on each request and without the proper (apache) server directives, that will return a 'expired' response in most (if not all) cases.
If this plugin cannot modify the .htaccess file on its own then at least include instructions on how to set some decent expiration times for static files like js, jpg etc...