WIP: Support CONNECT-only proxies with HTTP hosts

[7heo]

Fixes #1634

Requirements

All new code should be covered with tests, documentation should be updated. CI should pass.

Checklist

• allow Maintainers to edit PR (rebase, run coverage, help with tests, ...)
• unit-test added (if change is algorithm)
• functional test added/updated (if change is functional)
• man page updated (if applicable)
• bash completion updated (if applicable)
• documentation updated
• author name in AUTHORS

WIP because I just did the patch, I still have to implement a test, document the change, and add my name to the AUTHORS.

Edit: In the meanwhile, the patch is here, so if anyone wants to review it, that part won't change without a request for change.

[codecov]

Codecov Report

❌ Patch coverage is 5.00000% with 38 lines in your changes missing coverage. Please review.
✅ Project coverage is 76.88%. Comparing base (f59b0d2) to head (0add4dd).

Files with missing lines	Patch %	Lines
http/download.go	0.00%	37 Missing and 1 partial ⚠️

Additional details and impacted files

@@            Coverage Diff             @@
##           master    #1635      +/-   ##
==========================================
- Coverage   77.37%   76.88%   -0.50%     
==========================================
  Files         165      165              
  Lines       15747    15786      +39     
==========================================
- Hits        12185    12137      -48     
- Misses       2356     2446      +90     
+ Partials     1206     1203       -3     

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