Ah, my bad, I haven't realized that I did the wrong question. What I want is to redirect, but before that, use setStatusCode(). The problem is that, even with setNotModified(), the statusCode is deleted.
Phalcon\Http\Response::redirect automatically sets up a 301/302 status code which is the right way to perform a redirection: https://en.wikipedia.org/wiki/HTTP_301
You can pass the status code in the third parameter: