MINOR: check: do not ignore a connection header for http-check send

MINOR: check: do not ignore a connection header for http-check send

Allow the user to specify a custom Connection header for http-check
send. This is useful for example to implement a websocket upgrade check.

If no connection header has been set, a 'Connection: close' header is
automatically appended to allow the server to close the connection
immediately after the request/response.

Update the documentation related to http-check send.

This fixes the github issue #1009.