CurlHttpClient.cpp: move HeadersReceivedEventHandler to WriteHeader

[sbaluja]

Issue #, if available:
#3814

Description of changes:
HeaderReceivedEventHandler is invoked from WriteHeader callback (will fire even if there is no body) instead of WriteData callback

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• Did a review by yourself.
• Added proper tests to cover this PR. (If tests are not applicable, explain.)
• Checked if this PR is a breaking (APIs have been changed) change.
• Checked if this PR will not introduce cross-platform inconsistent behavior.
• Checked if this PR would require a ReadMe/Wiki update.

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