(http://curl.haxx.se/bug/view.cgi?id=1879375) which describes how libcurl
  got lost in this scenario: proxy tunnel (or HTTPS over proxy), ask to do any
  proxy authentication and the proxy replies with an auth (like NTLM) and then
  closes the connection after that initial informational response.

  libcurl would not properly re-initialize the connection to the proxy and
  continue the auth negotiation like supposed. It does now however, as it will
  now detect if one or more authentication methods were available and asked
  for, and will thus retry the connection and continue from there.

- I made the progress callback get called properly during proxy CONNECT.