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.
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