Curl_connected_proxy: skip the bits.tcpconnect check

Simply because the TCP might be connected already we cannot skip the
proxy connect procedure. We need to be careful to not overload more
meaning to the bits.tcpconnect field like this.

With this fix, SOCKS proxies work again when the multi interface is
used. I believe this regression was added with commit 4b351d01,
released as 7.20.1.

Left todo: add a test case that verifies this functionality that
prevents us from breaking it again in the future!

Reported by: Robin Cornelius
Bug: http://curl.haxx.se/bug/view.cgi?id=3033966