proxy: fix tests as follow-up to 93b0d907

This fixes tests that were added after 113f04e6 as the tests would
fail otherwise.

We bring back "Proxy-Connection: Keep-Alive" now unconditionally to fix
regressions with old and stupid proxies, but we could possibly switch to
using it only for CONNECT or only for NTLM in a future if we want to
gradually reduce it.

Fixes #954

Reported-by: János Fekete