Add licensing and copyright information for all files in this repository. This
either happens in the file itself as a comment header or in the file
`.reuse/dep5`.
This commit also adds a Github workflow to check pull requests and adapts
copyright.pl to the changes.
Closes#8869
Updated the docs to clarify and the code accordingly, with test 1528 to
verify:
When CURLHEADER_SEPARATE is set and libcurl is asked to send a request
to a proxy but it isn't CONNECT, then _both_ header lists
(CURLOPT_HTTPHEADER and CURLOPT_PROXYHEADER) will be used since the
single request is then made for both the proxy and the server.