I suspect I know the answer, but if anyone knows better, please correct.

The issue is that the ngx_http_proxy_connect_module also requires the ngx_http_ssl_module. It's not documented as far as I can see on the github for the ngx_http_proxy_connect_module. How I corrected mine was to rerun the configuration command with this...

--with-http_ssl_module.

So my command looks like this.

./configure --prefix=/usr/local/nginx --add-dynamic-module=ngx_http_proxy_connect_module-0.0.5 --with-http_ssl_module

After that my poxy started working.