http: Don't wait on CONNECT when there is no proxy

Since curl 7.55.0, NetworkManager almost always failed its connectivity
check by timeout. I bisected this to 5113ad04 (http-proxy: do the HTTP
CONNECT process entirely non-blocking).

This patch replaces !Curl_connect_complete with Curl_connect_ongoing,
which returns false if the CONNECT state was left uninitialized and lets
the connection continue.

Closes #1803
Fixes #1804

Also-fixed-by: Gergely Nagy