Well, this is a bit tough for me too, but I think section "protocol = proto" in man page needs a bit more explanation - stunnel behavior is different between connect and, let's say, smtp. As I understand it, connect is used in client mode only. So adding something like: "connect protocol is used in client mode to establish connection via HTTP proxy" should help.
People tend to use internet search to find stuff, and as long as you have three keywords "HTTP connect proxy" - it should be easy to recognize this feature correctly.
 

I perfectly understand. Treat it as a feature request. I just think stunnel will benefit from this support, so - whenever you have some time, could you please look into implementing it?