Misusing of system-wide proxy on Windows / HTTPS connections over system-wide proxy on Windows do not work

[ValdikSS]

On Windows 10 and 11, if a system-wide proxy is configured in the OS settings, Requests won't load HTTPS websites.
Instead of the regular CONNECT header, Requests sends TLS request to the proxy server (ip and port). The TLS ClientHello does not have Server Name Indication field, that's why I assume that Requests misinterprets the proxy as a Secure Web Proxy (a regular proxy with TLS encapsulation on top), which Windows does not support.

Expected Result

If system-wide proxy is configured in Windows, Requests sends CONNECT header to the proxy server when HTTPS website is requested.

Actual Result

If system-wide proxy is configured in Windows, Requests sends TLS request to the proxy address when HTTPS website is requested.

Reproduction Steps

1. Configure system-wide proxy on Windows

import requests
requests.get("https://w3.org/")

Result:
My proxy does not respond to the packets it does not understand, and I receive the following error:
HTTPSConnectionPool(host='w3.org, port=443): Max retries exceeded with url: / (Caused by ProxyError('Cannot connect to proxy.', timeout('_ssl.c:1114: The handshake operation timed out')))

System Information

$ python -m requests.help

{
  "chardet": {
    "version": null
  },
  "charset_normalizer": {
    "version": "2.0.12"
  },
  "cryptography": {
    "version": ""
  },
  "idna": {
    "version": "3.3"
  },
  "implementation": {
    "name": "CPython",
    "version": "3.10.4"
  },
  "platform": {
    "release": "10",
    "system": "Windows"
  },
  "pyOpenSSL": {
    "openssl_version": "",
    "version": null
  },
  "requests": {
    "version": "2.27.1"
  },
  "system_ssl": {
    "version": "101010ef"
  },
  "urllib3": {
    "version": "1.26.9"
  },
  "using_charset_normalizer": true,
  "using_pyopenssl": false
}

[ValdikSS]

This is a Python's urllib bug, which is triggered by newer urllib3 version, thus affecting requests.

https://bugs.python.org/issue42627
python/cpython#86793
python/cpython@9743524

This bug has existed for a very long time (since Python 2.0.1 if not earlier), but it was exposed recently when urllib3 added support for HTTPS-in-HTTPS proxies in version 1.26. Before that, an https prefix on the HTTPS proxy url was silently treated as http, accidentally resulting in the correct behavior.

Fixed in Python 3.10.5, all the previous versions are still affected.

[ValdikSS]

urllib3/urllib3#2164