Set ProxyServer in URLRequest on failure to connect to proxy

The following errors:

  ERR_PROXY_CERTIFICATE_INVALID,
  ERR_PROXY_AUTH_UNSUPPORTED,
  ERR_PROXY_CONNECTION_FAILED

indicate failure to connect to the proxy (there's also the QUIC-specific
ERR_NO_SUPPORTED_PROXIES). Before this CL, when a URLRequest completed
with one of these errors, |URLRequest::proxy_server_| was not set.

While there's some inherent ambiguity as to which proxy server is set in
this case (ProxyInfo can store multiple proxies), we already report the
net::Error we got for the last proxy we tried, even though previous
proxies might have failed with a different error.

BUG=940428

Change-Id: I900d7be7ea4761cc81bd08d21ca1abfbe8e824ce
Reviewed-on: https://chromium-review.googlesource.com/c/chromium/src/+/1541164
Reviewed-by: Matt Menke <mmenke@chromium.org>
Commit-Queue: Wojciech Dzier┼╝anowski <wdzierzanowski@opera.com>
Cr-Commit-Position: refs/heads/master@{#646481}
14 files changed