We build the R bindings on Windows with both schannel and openssl. But
we don't ship any CA bundle, so the openssl back-end only works once
we enable CURLSSLOPT_NATIVE_CA.

Sometimes we need to debug something using the curl command line
utility with the same settings. This is a bit tricky because we can
set the CURL_SSL_BACKEND at runtime using an envvar, however enabling
CURLSSLOPT_NATIVE_CA requires the C API.

Perhaps it makes sense to enable CURLSSLOPT_NATIVE_CA by default for
curl builds --without-ca-bundle? At least on Windows I think that
makes sense (and perhaps is even what one would expect) when we build
curl against openssl but without a bundle.
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