@shazow, it's a tough question;
Proxy's host/port are used in `HTTPSConnectionPool._new_conn()` to modify host/port pair for the actual TCP connection as well as establishing the tunnel by calling `connection.set_tunnel()` - it's the only place where it's used in all `ConnectioPool` subclasses.  

This change was suggested by @wolever in our IRC conversation during his code (change f1ed555e) review and I support it. It may also be useful in `HTTPConnectionPool` as well, for example, supporting SOCKS proxying.