This code directly writes an HTTP parameter to an HTTP header, which allows for a HTTP response splitting vulnerability. See http://en.wikipedia.org/wiki/HTTP_response_splitting for more information.
FindBugs looks only for the most blatent, obvious cases of HTTP response splitting. If FindBugs found any, you almostly certainly have more vulnerabilities that FindBugs doesn't report. If you are concerned about HTTP response splitting, you should seriously consider using a commercial static analysis or pen-testing tool, such as those provided by Fortify Software, a sponsor of the FindBugs project. If your software is open source, Fortify will scan your code for free as part of the JOR (Java Open Review) effort.