This fixes tests that were added after 113f04e664 as the tests would
fail otherwise.
We bring back "Proxy-Connection: Keep-Alive" now unconditionally to fix
regressions with old and stupid proxies, but we could possibly switch to
using it only for CONNECT or only for NTLM in a future if we want to
gradually reduce it.
Fixes#954
Reported-by: János Fekete