http-proxy: keep CONNECT connections alive (for NTLM)

When doing CONNECT requests, libcurl must make sure the connection is
alive as much as possible. NTLM requires it and it is generally good for
other cases as well.

NTLM over CONNECT requests has been broken since this regression I
introduced in my CONNECT cleanup commits that started with 41b02378,
included since 7.25.0.

Bug: http://curl.haxx.se/bug/view.cgi?id=3538625
Reported by: Marcel Raad