Install more_set_headers in nginx 1.15.8

This is what I did to have enable more_set_headers on Ubuntu 16.04, since the module is an extra module and not created by nginx as @MichaelHampton explained below. With his guidance I was able to install nginx with more_set_headers.

#==  I backed up my nginx folder to home    
tar -czvf /home/nginx.tar.gz /etc/nginx

#==  I removed then purged nginx - not sure if both are necessary
sudo apt remove nginx
sudo apt autoremove
sudo apt purge nginx

#==  I removed all nginx entries from /etc/apt/sources.list
nano /etc/apt/sources.list

#==  I did an apt-update and installed nginx
sudo apt update
sudo apt upgrade
sudo apt install nginx

#== I checked the version that was installed
nginx -v

#==  I then upgraded nginx to the latest stable
sudo apt install software-properties-common
nginx=stable 
sudo add-apt-repository ppa:nginx/$nginx
sudo apt update
sudo apt dist-upgrade

#==  I then installed nginx-extras
sudo apt install nginx-extras

Once the above was completed, I edited my /etc/nginx/nginx.conf and added the following as my first line:
load_module modules/ngx_http_headers_more_filter_module.so;

I then added the following to the http block:
more_set_headers Server: Uber;

I checked to see if my config was okay with nginx -t

Finally, I restarted the server with service nginx restart

As a final check, I went over to https://securityheaders.com, to see if "Nginx" was showing. Be sure to check Hide Results and Follow redirects

Hope this helps someone