multi: fix *getsock() with CONNECT

The code used some happy eyeballs logic even _after_ CONNECT has been
sent to a proxy, while the happy eyeball phase is already (should be)
over by then.

This is solved by splitting the multi state into two separate states
introducing the new SENDPROTOCONNECT state.

Bug: http://curl.haxx.se/mail/lib-2015-01/0170.html
Reported-by: Peter Laser