We detect and reject said attempts if there is no chosen exit node or
circuit: connecting to a private addr via a randomly chosen exit node
will usually fail (if all exits reject private addresses), is always
ill-defined (you're not asking for any particular host or service),
and usually an error (you've configured all requests to go over Tor
when you really wanted to configure all _remote_ requests to go over
Tor).

This can also help detect forwarding loop requests.

Found as part of bug2279.