Confirmed in Windows 7 x64 with OpenSSL_1_0_2d and curl master f322ca7 2015-11-13 curl-all.sln VS2010 in configuration 'DLL Debug - DLL OpenSSL|Win32'. Happens regardless of whether a conf file is present.
This can be solved by either unloading the modules or freeing them on cleanup. OpenSSL's doc says:
Normally applications will only call CONF_modules_free() at application to tidy up any configuration performed.
I'm sure they mean application closedown because they say so in OPENSSL_config. Even though we don't use that function we're doing pretty much the same thing so it makes sense that we would have to use CONF_modules_free.