In commit b9c5b15a (http: use the new httpclient, 2019-12-22), the HTTP
code got refactored to extract a generic HTTP client that operates
independently of the Git protocol. Part of refactoring was the creation
of a new `git_http_request` struct that encapsulates the generation of
requests. Our Git-specific HTTP transport was converted to use that in
`generate_request`, but during the process we forgot to set up custom
headers for the `git_http_request` and as a result we do not send out
these headers anymore.

Fix the issue by correctly setting up the request's custom headers and
add a test to verify we correctly send them.