Running tests\libtest\libntlmconnect.exe reveals a 1 byte (!) leak in
./lib/curl_ntlm_msgs.c:

perl ..\memanalyze.pl c:memdebug.curl
Leak detected: memory still allocated: 1 bytes
At 9771e8, there's 1 bytes.
allocated by curl_ntlm_msgs.c:399

Snippet from curl_ntlm_msgs.c:
   /* setup ntlm identity's domain and length */
   dup_domain.tchar_ptr = malloc(sizeof(TCHAR) * (domlen + 1));

(my domlen == 0).

'dup_domain.tbyte_ptr' looks to be freed in Curl_ntlm_sspi_cleanup() via
'ntlm->identity.Domain'. But I see no freeing of 'dup_domain.tchar_ptr'.