When a proxy negotiation function is called with PROXY_CHANGE_NEW, it

When a proxy negotiation function is called with PROXY_CHANGE_NEW, it
should not call plug functions, because it's being called from within
new_connection(), and the state on which the plug functions depend
will not have been set up until new_connection() returns success.
Instead, we set the error string in the Proxy_Socket, which will cause
the same error message to be returned as a failure of new_connection().

git-svn-id: http://svn.tartarus.org/sgt/putty@9689 cda61777-01e9-0310-a592-d414129be87e