Use the socket factory for direct connections as well.

Currently, the passed-in socket factory is only used for
connections to HTTP proxies. I think this was not the intent of
the original socket factory change, because the commit message
said that the "socket factory will be used for all non-proxy
connections and HTTP proxy connections".  So use it for DIRECT
connections as well.

Also add a test to check that a socket factory is used if
specified.

Cherry-pick of https://github.com/square/okhttp/commit/7f763c1a18e342dc4e2840c68ca99c175c37eb93

(cherry picked from commit a83ddf19)

Change-Id: Ie3d239d8683a51a2b6ab1dc9d443886d0746e68a