When we ask for credentials, the user may choose to return EUSER to
indicate that an error has happened on its end and it wants to be given
back control.

We must therefore pass that back to the user instead of mentioning that
it was on_headers_complete() that returned an error code. Since we can,
we return the exact error code from the user (other than PASSTHROUGH)
since it doesn't cost anything, though using other error codes aren't
recommended.