Updated the docs to clarify and the code accordingly, with test 1528 to
verify:
When CURLHEADER_SEPARATE is set and libcurl is asked to send a request
to a proxy but it isn't CONNECT, then _both_ header lists
(CURLOPT_HTTPHEADER and CURLOPT_PROXYHEADER) will be used since the
single request is then made for both the proxy and the server.
