### Preflight Checklist

* [x] I have read the [Contributing Guidelines](https://github.com/electron/electron/blob/master/CONTRIBUTING.md) for this project.
* [x] I agree to follow the [Code of Conduct](https://github.com/electron/electron/blob/master/CODE_OF_CONDUCT.md) that this project adheres to.
* [x] I have searched the issue tracker for an issue that matches the one I want to file, without success.

### Issue Details

* **Electron Version:**
* 9.0.0, 9.2.0, 9.2.1 0 All broken

* **Operating System:**
  * Windows 10 (1809)
* **Last Known Working Electron version:**
  * 8.5.0

### Expected Behavior
When requesting url's and having a socket connect, when it is rejected with proxy authentication required, consistently try again with the proxy authentication credentials.

### Actual Behavior
See logs - good and bad.
In the good logs, electron always makes a 2nd socket request with the proxy authentication headers and succeeds. In the bad logs, electron does not make a 2nd socket request.
Note that for the first socket request on a web page, it works, but when a second socket is opened to make requests it seems to fail.

### To Reproduce
Be behind a NTLM proxy that requires authentication for a domain
Visit a website that makes multiple requests so that multiple sockets are opened.

shell/browser/net/proxying_url_loader_factory.cc
const std::set<std::string>& removed_headers,
    const std::set<std::string>& set_headers,
    int error_code) {
  if (error_code != net::OK) {
    OnRequestError(network::URLLoaderCompletionStatus(error_code));
    return;
  }
  if (current_request_uses_header_client_) {
    DCHECK(on_before_send_headers_callback_);
    std::move(on_before_send_headers_callback_)
        .Run(error_code, request_.headers);
  } else if (pending_follow_redirect_params_) {
    pending_follow_redirect_params_->removed_headers.insert(
        pending_follow_redirect_params_->removed_headers.end(),
        removed_headers.begin(), removed_headers.end());
    for (auto& set_header : set_headers) {
      std::string header_value;
      if (request_.headers.GetHeader(set_header, &header_value)) {
        pending_follow_redirect_params_->modified_headers.SetHeader(
            set_header, header_value);
      } else {
        NOTREACHED();
      }
    }
    if (target_loader_.is_bound()) {
      target_loader_->FollowRedirect(
          pending_follow_redirect_params_->removed_headers,