Unable to use system proxy with HTTPS connection on Windows and Python 3.9

On Windows you can only set a "host:port" http proxy as system proxy.
```
PS > Get-ItemProperty -Path 'HKCU:\Software\Microsoft\Windows\CurrentVersion\Internet Settings' | findstr ProxyServer
ProxyServer              : 127.0.0.1:7890
```

But in Python, it assumes that this proxy supports both http and https on the same port:

```
>>> import urllib
>>> urllib.request.getproxies()
{'http': 'http://127.0.0.1:7890', 'https': 'https://127.0.0.1:7890', 'ftp': 'ftp://127.0.0.1:7890'}
```
Which will try to handshake httpps on http port. 

## Expected Result

On Python 3.8.x:

```
> .\python38.exe
Python 3.8.3 (tags/v3.8.3:6f8c832, May 13 2020, 22:37:02) [MSC v.1924 64 bit (AMD64)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> import urllib, requests
>>> urllib.request.getproxies()
{'http': 'http://127.0.0.1:7890', 'https': 'https://127.0.0.1:7890', 'ftp': 'ftp://127.0.0.1:7890'}
>>> requests.get("http://www.google.com")
<Response [200]>
>>> requests.get("https://www.google.com")
<Response [200]>
```

## Actual Result

```
> python3
Python 3.9.1 (tags/v3.9.1:1e5d33e, Dec  7 2020, 17:08:21) [MSC v.1927 64 bit (AMD64)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> import urllib, requests
>>> urllib.request.getproxies()
{'http': 'http://127.0.0.1:7890', 'https': 'https://127.0.0.1:7890', 'ftp': 'ftp://127.0.0.1:7890'}
>>> requests.get("http://www.google.com")
<Response [200]>
>>> requests.get("https://www.google.com")
Traceback (most recent call last):
  File "C:\Python39\lib\site-packages\urllib3\connectionpool.py", line 696, in urlopen
    self._prepare_proxy(conn)
  File "C:\Python39\lib\site-packages\urllib3\connectionpool.py", line 964, in _prepare_proxy
    conn.connect()
  File "C:\Python39\lib\site-packages\urllib3\connection.py", line 359, in connect
    conn = self._connect_tls_proxy(hostname, conn)
  File "C:\Python39\lib\site-packages\urllib3\connection.py", line 496, in _connect_tls_proxy
    return ssl_wrap_socket(
  File "C:\Python39\lib\site-packages\urllib3\util\ssl_.py", line 432, in ssl_wrap_socket
    ssl_sock = _ssl_wrap_socket_impl(sock, context, tls_in_tls)
  File "C:\Python39\lib\site-packages\urllib3\util\ssl_.py", line 474, in _ssl_wrap_socket_impl
    return ssl_context.wrap_socket(sock)
  File "C:\Python39\lib\ssl.py", line 500, in wrap_socket
    return self.sslsocket_class._create(
  File "C:\Python39\lib\ssl.py", line 1040, in _create
    self.do_handshake()
  File "C:\Python39\lib\ssl.py", line 1309, in do_handshake
    self._sslobj.do_handshake()
ssl.SSLEOFError: EOF occurred in violation of protocol (_ssl.c:1123)

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\Python39\lib\site-packages\requests\adapters.py", line 439, in send
    resp = conn.urlopen(
  File "C:\Python39\lib\site-packages\urllib3\connectionpool.py", line 755, in urlopen
    retries = retries.increment(
  File "C:\Python39\lib\site-packages\urllib3\util\retry.py", line 573, in increment
    raise MaxRetryError(_pool, url, error or ResponseError(cause))
urllib3.exceptions.MaxRetryError: HTTPSConnectionPool(host='www.google.com', port=443): Max retries exceeded with url: / (Caused by SSLError(SSLEOFError(8, 'EOF occurred in violation of protocol (_ssl.c:1123)')))

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "C:\Python39\lib\site-packages\requests\api.py", line 76, in get
    return request('get', url, params=params, **kwargs)
  File "C:\Python39\lib\site-packages\requests\api.py", line 61, in request
    return session.request(method=method, url=url, **kwargs)
  File "C:\Python39\lib\site-packages\requests\sessions.py", line 542, in request
    resp = self.send(prep, **send_kwargs)
  File "C:\Python39\lib\site-packages\requests\sessions.py", line 655, in send
    r = adapter.send(request, **kwargs)
  File "C:\Python39\lib\site-packages\requests\adapters.py", line 514, in send
    raise SSLError(e, request=request)
requests.exceptions.SSLError: HTTPSConnectionPool(host='www.google.com', port=443): Max retries exceeded with url: / (Caused by SSLError(SSLEOFError(8, 'EOF occurred in violation of protocol (_ssl.c:1123)')))
```

## Reproduction Steps

Set a http Windows system proxy then execute:
```python
import requests
requests.get("https://www.google.com")
```

## System Information

    $ python -m requests.help

```
{
  "chardet": {
    "version": "4.0.0"
  },
  "cryptography": {
    "version": ""
  },
  "idna": {
    "version": "2.10"
  },
  "implementation": {
    "name": "CPython",
    "version": "3.9.1"
  },
  "platform": {
    "release": "10",
    "system": "Windows"
  },
  "pyOpenSSL": {
    "openssl_version": "",
    "version": null
  },
  "requests": {
    "version": "2.25.1"
  },
  "system_ssl": {
    "version": "1010107f"
  },
  "urllib3": {
    "version": "1.26.2"
  },
  "using_pyopenssl": false
}
```


see: https://github.com/pypa/pip/issues/9216#issuecomment-741836058

reinstall `urllib3==1.25.11` or pass `proxies` to requests

```python
proxies={
'http': 'http://127.0.0.1:7890',
'https': 'http://127.0.0.1:7890'  # https -> http
}

r = requests.get(url, proxies=proxies)
```

@davycloud 
So is that means it is a `urllib3` issue? 
But from this line
> Users that have their proxy configured as proxy_url=https://... and connecting to https://pypi.org before were actually using their proxy in an HTTP configuration

Since Windows only support http proxy as system proxy, I think it's more like a system proxy parsing issue. So I have no idea if the issue happens on `urllib3` side or `requests` side. 
Also of course setting `proxies` in request will work but I smh don't want to detect system proxy manually in every script. 

@kotori2 

> I think it's more like a system proxy parsing issue. 

I think you are right.
Since the proxy server is `http` or `https` is nothing about the target url. 
So in Windows, when we config the proxy `127.0.0.1` and `7890`，it should means:

```python
# http proxy
proxies={
'http': 'http://127.0.0.1:7890',
'https': 'http://127.0.0.1:7890' 
}
```
If the proxy is https, we should config the address manually:  `https://127.0.0.1` ，and the result should be:

```python
# https proxy
proxies={
'http': 'https://127.0.0.1:7890',
'https': 'https://127.0.0.1:7890' 
}
```
BUT，in case 1，the actual result is :

```python
>>> import urllib
>>> urllib.request.getproxies()
{'http': 'http://127.0.0.1:7890', 'https': 'https://127.0.0.1:7890', 'ftp': 'ftp://127.0.0.1:7890'}
```
which cause the error in new `urllib3` .

Then I manually config the address `http://127.0.0.1`

```python
>>> urllib.request.getproxies()
{'http': 'http://127.0.0.1:7890'}
```
😂 

BTW，set Environment variable `https_proxy=http://127.0.0.1:7890` also work，but it will ignore the system setting.









https://bugs.python.org/issue42627