This reverts commit cb3e6dfa and instead fixes the problem
differently.

The reverted commit addressed a test failure in test 1021 by simplifying
and generalizing the code flow in a way that damaged the
performance. Now we modify the flow so that Curl_proxyCONNECT() again
does as much as possible in one go, yet still do test 1021 with and
without valgrind. It failed due to mistakes in the multi state machine.

Bug: http://curl.haxx.se/bug/view.cgi?id=1397
Reported-by: Paul Saab