When using the multi interface, a SOCKS proxy, and a connection that
wouldn't immediately consider itself connected (which my Linux tests do
by default), libcurl would be tricked into doing _two_ connects to the
SOCKS proxy when it setup the data connection and then of course the
second attempt would fail miserably and cause error.

This problem is a regression that was introduced by commit
4a42e5cd that was introduced in the 7.21.7 release.

Bug: http://curl.haxx.se/mail/lib-2011-08/0199.html
Reported by: Fabian Keil