Rework the TestProxyClose - close the proxy in the *same* goroutine
as where we started it. Close channels as long as we don't get dataraces
(this may need another fix).

Move the Dial goroutine out of the connManager - this simplifies things
*and* makes another goroutine go away and removes the need for connErr
channels - can now just be dns.Conn.

Also:

Revert "plugin/forward: gracefull stop (#1701)"
This reverts commit 135377bf.

Revert "rework TestProxyClose (#1735)"
This reverts commit 9e8893a0.