proxy: Never send proxy-auth to the endpoint server

Also, remove some headers from the default proxy header whitelist that
are response headers rather than request headers, and remove proxy-connection,
which is just a stupid mistake in the first place that should never be used.

Add test to ensure that explicitly set proxy-auth header never makes it to
the endpoint server, but is still used when using a non-tunneling proxy,
since it is an essential way to send authorizations other than basic.