Revert "[WebConnection] Use just one delegate to init the connection"

This reverts commit 4367f8c04a4e1507a6df965c84fb229c9ea0f666.

This is needed before I revert b190db44cbf321391ab0cf946f4501eae76f2eb3
which Gonzalo studied and determine shoudl be removed
Revert "[HttpWebRequest] Avoid using the threadpool for synchronous requests"

This reverts commit b190db44cbf321391ab0cf946f4501eae76f2eb3.

The reason is:

"The HttpWebRequests tests are not enough"

"A quick review of the code shows that the code is taking a lock, while
calling a function that retries connections (which in turn takes another
important lock --for the socket--) which might casue a stack overflow
if someone calls SetWriteStream"

"This also will make the opereation sync when calling Begin/End"

"Finally, this is a patch that improves the use of the threadpool, but
the threadpool still will end up exhausted"

Probably best to just increase the number of threads?