cURL -- sensitive HTTP server headers also sent to proxies

cURL reports:

libcurl provides applications a way to set custom HTTP
headers to be sent to the server by using CURLOPT_HTTPHEADER.
A similar option is available for the curl command-line
tool with the ‘–header’ option.
When the connection passes through an HTTP proxy the
same set of headers is sent to the proxy as well by default.
While this is by design, it has not necessarily been clear
nor understood by application programmers.