Fix proxy connections

We encountered some issues with HTTPS connections when using a proxy. The below changes fix them for us:

- Do not use extended GET format (GET https://host/path HTTP/1.1) when the request is tunneled through the proxy with CONNECT.  It's mostly meant for proxies, but was now sent to the destination. Some web servers (or apps) seem not to like it and break with redirects etc., although the RFC suggests that even the HTTP/1.1 servers should support it.
- Always include port in CONNECT command. At least some proxies seem to default to port 443 if it's not given, but it seems like a bit undefined condition
- Don't leak Proxy-Connection header to destination when CONNECT is used (although it shouldn't really cause any harm)