Tested on Windows XP SP3 (32-bit), running GIMP 2.8.20 (master is also affected):

  1a. File/Open Location... ('http://a.dilcdn.com/bl/wp-content/uploads/sites/2/2015/05/smile-pooh.gif')
---
http, file loads successfully


  1b. File/Open Location... ('https://a.dilcdn.com/bl/wp-content/uploads/sites/2/2015/05/smile-pooh.gif')
---
GIMP Error -- Opening 'https://a.dilcdn.com/bl/wp-content/uploads/sites/2/2015/05/smile-pooh.gif' failed:
HEAD request failed: WinHttp error: INVALID_SERVER_RESPONSE
---
WinHttpSendRequest() succeeded, WinHttpReceiveResponse() failed with error ERROR_WINHTTP_INVALID_SERVER_RESPONSE


  2. File/Open Location... ('https://www.gimp.org/images/frontpage/wilber-big.png')
---
GIMP Error -- Opening 'https://www.gimp.org/images/frontpage/wilber-big.png' failed:
HEAD request failed: The message received was unexpected or badly formatted.
---
WinHttpSendRequest() failed with error SEC_E_ILLEGAL_MESSAGE


  3. Help/Help
---
help.exe Warning -- Parse error in 'http://docs.gimp.org/2.8/en/gimp-help.xml':
GET request failed: The message received was unexpected or badly formatted.
---
WinHttpSendRequest() failed with error SEC_E_ILLEGAL_MESSAGE


see also SEC_E_ILLEGAL_MESSAGE at https://msdn.microsoft.com/en-us/library/windows/desktop/dd721886(v=vs.85).aspx
