Create one permanent proxy socket per TLSProxy::Proxy instance

On Windows, we sometimes see a behavior with SO_REUSEADDR where there
remains lingering listening sockets on the same address and port as a
newly created one.

To avoid this scenario, we don't create a new proxy port for each new
client run.  Instead, we create one proxy socket when the proxy object
is created, and close it when destroying that object.

Reviewed-by: Bernd Edlinger <bernd.edlinger@hotmail.de>
(Merged from https://github.com/openssl/openssl/pull/5095)