Register a evhttp error handler to get a more detailed error message if the HTTP request fails. This can save a lot of confusion, distinguishing between, say, timeouts and being unable to connect and HTTP header issues.
Only works for libevent >= 2.1.3.
The rationale for this was to be able to debug the zu issue leading to #8730. Without this, there is no way to distinguish a refused connection from a HTTP parsing isue.