v2 gateway ProxyJump Connections don't preserve parent config

[bitprophet]

Spinoff of #1850 but has been a longstanding code TODO comment.

When we create anonymous/internal sub-Connections because of ProxyJump, we do not pass in the config data from the parent. This means that, for example, you cannot fully turn off SSH config loading, or anything else that affects Connection instantiation, as subsequent gateways will instantiate with a default config instead.