Add `Keep-Alive` header if `keep_alive` is on

[sentrivana]

If keep_alive is set to True, we currently set a bunch of TCP socket options. There are also respective HTTP headers (Connection and Keep-Alive) that we don't set.

Apparently HTTP/1.1 keeps connections open by default and the Connection header is not needed. However, a reasonable Keep-Alive that is in line with the timeout in the socket options would be good to add.