Remove ConsumeOnClose and add test

For pros and cons of consuming input stream, see section "What can you do to help with Keep-Alive?" of http://docs.oracle.com/javase/8/docs/technotes/guides/net/http-keepalive.html.

In summary, not consuming may "results in idle TCP connections" that "needs to be garbage collected when they are no longer referenced". It also recommends consuming + closing the error stream if there is an `IOException`. If one does not do that, "you need to be aware that more data could be on its way. Thus the connection may not be cleared for reuse."