mitmdump no longer shows failed CONNECT for nonexisting domain

#### Problem Description

Via https://github.com/mitmproxy/mitmproxy/discussions/7081

#### Steps to reproduce the behavior:
1. `mitmdump`
2. `curl --insecure --proxy localhost:8080 https://doesnot1321exist.ac`

Compare 10.0.0 with 10.4.1 (edit: 10.4.2 same)

![image](https://github.com/user-attachments/assets/fb48bfb0-338c-429b-a588-eaad8a2bac2b)

It works up until **10.3.1**