Set `Connection: close` header when closing HTTP 1.1 connections

There are certain circumstances where we close HTTP 1.1 connections, even when the client hasn't requested it.  The HTTP spec says:

> HTTP/1.1 applications that do not support persistent connections MUST include the "close" connection option in every message.

The reason for this is that the client may try to send a another HTTP request on the same connection after the response is received but before the TCP RST packet has been received.

This affects 2.0.x-master, and should be fixed on all stable branches.