Only load the proxy configuration during connection; we need this data
when we're going to connect to the server, however we may mutate it
after connection (connecting through a CONNECT proxy means that we
should send requests like normal).  If we reload the proxy configuration
but do not actually reconnect (because we're in a keep-alive session)
then we will reload the proxy configuration that we should have mutated.

Thus, only load the proxy configuration when we know that we're going to
reconnect.