HTTP proxy double free

If curl is told to use an HTTP proxy for a transfer with a non-HTTP(S) URL, it
sets up the connection to the remote server by issuing a CONNECT request to
the proxy, and then tunnels the rest of protocol through.

An HTTP proxy might refuse this request (HTTP proxies often only allow
outgoing connections to specific port numbers, like 443 for HTTPS) and instead
return a non-200 response code to the client.

Due to flaws in the error/cleanup handling, this could trigger a double free
in curl if one of the following schemes were used in the URL for the transfer:
dict, gopher, gophers, ldap, ldaps, rtmp, rtmps, telnet