Fix test cases that fail when running behind a proxy

When sending a request via `Session.send()` the proxies must be
explicitly given with the `proxies` argument.  This is not done
in the test cases, which means that they fail when run on a system
that is behind a proxy.

Update test cases to make sure the proxies are set in the sessions.
Merge pull request #1482 from dpursehouse/fix-testcases-with-proxy

Fix test cases that fail when running behind a proxy