The cmake Windows build links vcpkg's pcre2, whose DLL lives in
c:/vcpkg/installed/x64-windows/bin. Running the tests without that on PATH
started a 3proxy that died at load with 0xC0000135 before opening a socket,
which the suite could only report as "never listened".
Report the reason instead of leaving it blank: name the exit code, and say
when a body is empty because the request failed rather than because the
reply carried nothing.
