When connecting back to an FTP server after having sent PASV/EPSV,
libcurl sometimes didn't use the proxy properly even though the proxy
was used for the initial connect.
The function wrongly checked for the CURLOPT_PROXY variable to be set,
which made it act wrongly if the proxy information was set with an
environment variable.
Added test case 711 to verify (based on 707 which uses --socks5). Also
added test712 to verify another variation of setting the proxy: with
--proxy socks5://
Bug: http://curl.haxx.se/bug/view.cgi?id=1218
Reported-by: Zekun Ni
