Report each failed client request to the error logger once

A failed request could reach the client's error logger twice: once from
the step that failed, without a request when that was the TLS setup or
the proxy CONNECT, and again from send_() with the request. A content
receiver or progress callback that canceled was reported twice too, a
CONNECT answered with 407 only without a request, and a stream that
failed to open not at all unless TLS failed.

Report a failure in one place instead. The outermost send() reports the
request's error once, with the request the caller made, also when the
failure happened on a redirect (a redirect client no longer gets the
error logger) and when an answer carries an error, such as a proxy's
407. open_stream() reports a stream that fails to open the same way.
Only an upload body compressed before send() still reports where it
fails.

README.md

@@ -1131,6 +1131,8 @@ cli.set_error_logger([](const httplib::Error& err, const httplib::Request* req)
 });
 ```
 
+Each failed request is reported once, with the request you made, also when it failed on a redirect or was a stream that failed to open (`open_stream()`, `stream::Get()`).
+
 ### GET with HTTP headers
 
 ```c++