WinHTTP memory leak during failed requests

[RickWinter]

Repro code

// Copyright (c) Microsoft Corporation. All rights reserved.
// SPDX-License-Identifier: MIT

#include <iostream>
#include <stdexcept>

#include <azure/core/http/curl_transport.hpp>
#include <azure/storage/blobs.hpp>

int main()
{
  using namespace Azure::Storage::Blobs;

  std::string connectionStrign
      = "DefaultEndpointsProtocol=https;AccountName=nonexistingaccount;AccountKey="
        "AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA==;"
        "EndpointSuffix=core.windows.net";

  BlobClientOptions clientOptions;
  // clientOptions.Transport.Transport = std::make_shared<Azure::Core::Http::CurlTransport>();
  auto containerClient = Azure::Storage::Blobs::BlobContainerClient::CreateFromConnectionString(
      connectionStrign, "containername", clientOptions);

  while (true)
  {
    try
    {
      containerClient.CreateIfNotExists();
    }
    catch (std::exception& e)
    {
      std::cout << e.what() << std::endl;
    }
  }

  return 0;
}