Throw an HttpResponseException in the WebAPI action method returning an empty 200 response

I am trying to return the appropriate Http codes and responses from my application, but I'm afraid. There seem to be two ways to return specific HTTP responses.

The way I want to deal with this is to throw away HttpResponseException:

public Information Get(int apiKey)
{
    if (!_users.Authenticate(apiKey))
    {
        var response = new HttpResponseMessage();
        response.StatusCode = (HttpStatusCode)401;
        response.ReasonPhrase = "ApiKey invalid";

        throw new HttpResponseException(response);
    }

    return _info.Get();
}

However, when I do this, the answer I see is just an empty 200 answer!

It also seems that you can also change the signature of your action method to return HttpResponseMessageas follows:

public HttpResponseMessage Get()
{
    if (!_users.Authenticate(apiKey))
    {
        return Request.CreateResponse((HttpStatusCode) 401, "ApiKey invalid");
    }

    return Request.CreateResponse((HttpStatusCode) 200, _info.Get());
}

I really don't want to do this, if I can help, I would prefer my return type to be the object I'm trying to retrieve, rather than wrapping it every time in HttpResponseMessage.

Is there a reason why the first method returns an empty 200 rather than 401 with a message as I want?