Fix for proxies that close the connection when 407'ing a CONNECT

Fix for proxies that close the connection when 407'ing a CONNECT

If we try to CONNECT through a proxy, and it returns a "407 Proxy
Authentication Required" but then closes the connection, we have to
create a new connection before we can try CONNECTing again. The old
soup-connection.c tunnel code did this, but it got accidentally lost
in the soup-session.c version.

Fix up tests/proxy-test to test both the connection-close and the
persistent-connection cases.

This was the underlying bug in
https://bugzilla.gnome.org/show_bug.cgi?id=611663, and is at least
part of https://bugzilla.gnome.org/show_bug.cgi?id=611539.