When using Fiddler, it pops up an alert dialog.
Fiddler has detected a protocol violation in session #14.
The Request\'s Host header did not match the URL\'
I didn't understand what the "url host" was supposed to be - I mean, normally, there is only the Host header in HTTP.
Looking closer, it appears that this violation occurs for an initial proxy "setup" request, which looks like this:
CONNECT targaryen:45633 HTTP/1.1
Host: targaryen
This is where the error makes sense to me.