http: move header storage to Curl_easy from connectdata

http: move header storage to Curl_easy from connectdata

Since the connection can be used by many independent requests (using
HTTP/2 or HTTP/3), things like user-agent and other transfer-specific
data MUST NOT be kept connection oriented as it could lead to requests
getting the wrong string for their requests. This struct data was
lingering like this due to old HTTP1 legacy thinking where it didn't
mattered..

Fixes #5566
Closes #5567