Fix http redirection socket leaks.

* bzrlib/tests/test_http.py:
(cleanup_http_redirection_connections): Redirected http
connections are not captured by the urllib implementation, they
need to be cleaned up.
(TestHTTPSilentRedirections.setUp)
(TestDoCatchRedirections.setUp, TestAuthOnRedirected.setUp):
Capture the redirected connections to clean them up.