(PUP-744) Ensure connections we create support at least HTTP 1.1

When starting a persistent HTTP connection, we do not expliclty specify
Connection: Keep-Alive, because that is the default in HTTP/1.1[1].

This commit adds a test to ensure we are using HTTP 1.1 or later.
Amazingly ruby has defaulted to 1.1 as far back as ruby 1.8.7[2].

[1] http://tools.ietf.org/html/rfc7230#appendix-A.1.2
[2] https://github.com/ruby/ruby/blob/v1_8_7/lib/net/http.rb#L282