s_client: Fix -proxy flag regression

s_client: Fix -proxy flag regression

s_client: connection via an HTTP proxy broke somewhere prior to openssl-3.0.0-alpha2.

openssl s_client -connect <target> -proxy <proxy_host:proxy_port>
Results in s_client making a TCP connection to proxy_host:proxy_port and then issuing an HTTP CONNECT to the proxy, instead of the target.

Fixes https://github.com/openssl/openssl/issues/11879

Reviewed-by: David von Oheimb <david.von.oheimb@siemens.com>
Reviewed-by: Tomas Mraz <tmraz@fedoraproject.org>
(Merged from https://github.com/openssl/openssl/pull/11880)