Unfortunately, your Observer will not work with HTTP_Request2's Curl adapter at all: it does not send 'connect' event you rely upon. Socket adapter tries to use keep-alive feature of HTTP protocol so it may reuse an existing connection and not send a 'connect' event either.
That being said, it may make sense to add a new event sent to observers before any communication to remote server, making it possible for observers to modify the request.
Indeed, I think it would make sense to add a new event for when the adapter is about to initiate the connection to the remote end.
Maybe HTTP Digest could also be implemented with an observer, then.
Observers could become even more useful.