BUG/MINOR: connection: make sure to correctly tag local PROXY connections

BUG/MINOR: connection: make sure to correctly tag local PROXY connections

As reported in issue #511, when sending an outgoing local connection
(e.g. health check) we must set the "local" tag and not a "proxy" tag.
The issue comes from historic support on v1 which required to steal the
address on the outgoing connection for such ones, creating confusion in
the v2 code which believes it sees the incoming connection.

In order not to risk to break existing setups which might rely on seeing
the LB's address in the connection's source field, let's just change the
connection type from proxy to local and keep the addresses. The protocol
spec states that for local, the addresses must be ignored anyway.

This problem has always existed, this can be backported as far as 1.5,
though it's probably not a good idea to change such setups, thus maybe
2.0 would be more reasonable.