Andrew Bushnell provided enough info for me to tell that we badly needed to

fix the CONNECT authentication code with multi-pass auth methods (such as
NTLM) as it didn't previously properly ignore response-bodies - in fact it
stopped reading after all response headers had been received. This could
lead to libcurl sending the next request and reading the body from the first
request as response to the second request. (I also renamed the function,
which wasn't strictly necessary but...)

The best fix would to once and for all make the CONNECT code use the
ordinary request sending/receiving code, treating it as any ordinary request
instead of the special-purpose function we have now. It should make it
better for multi-interface too. And possibly lead to less code...

Added test case 265 for this. It doesn't work as a _really_ good test case
since the test proxy is too stupid, but the test case helps when running the
debugger to verify.