I found the answer, I'm afraid so:
The disabled ASP.NET HTTP features are:
HttpContext.Current: This is always null in this mode. For ASMX services, this is a ThreadStatic property that is stored in the Thread Local Store (TLS). WCF provides a counterpart to this feature: OperationContext.Current.
Source: http://blogs.msdn.com/b/wenlong/archive/2006/01/23/516041.aspx