redirect_follower requires a new connection

Currently `Connection#initialize` is setting `@data[:headers]['Authorization']` using `||=`.
Should it be? It's not doing this for the proxy authorization.

This still needs to remove these headers, since the absence of `uri.user` and `uri.password` here would still cause this to remain set. And the URI for the redirect may possibly use a different/no proxy.

Another option here would be to start storing the validated params on Connection before they're merged with the defaults. This may have other benefits as well.

Note that I'm not removing `:connection` from `params` here, since I have another PR that would eliminate that.