Fix `prepend_scheme_if_needed` for $HOST:$PORT

`prepend_scheme_if_needed` is used for the proxy, but failed to do so properly for `host:port`.

This PR addresses the first occasion in the docs I've stumbled upon, fixes the implementation and adds tests.

(This is derived from https://github.com/kennethreitz/requests/pull/2219.)

If this seems OK, the documentation at https://github.com/kennethreitz/requests/blame/master/docs/api.rst#L238-249 needs to get removed/addressed also.