failure to re-use proxy connection

How to repeat:

$ curl -x [HTTP proxy] [URL1] [URL2]

This should make curl re-use the same connection to that proxy for both requests but it doesn't. It used to do this.

We also need to add a test case to detect such a regression for the future.

(This bug was originally figured out here: https://github.com/kennethreitz/requests/issues/2481)