multi-socks: fix connect to proxy

When connecting to a socks or similar proxy we do the proxy handshake at
once when we know the TCP connect is completed and we only consider the
"connection" complete after the proxy handshake. This fixes test 564
which is now no longer considered disabled.

Reported by: Dmitri Shubin
Bug: http://curl.haxx.se/mail/lib-2011-04/0127.html