Raise an error if Location header not present for redirection

Peter Bolingrequested to merge
github/fork/stanhu/sh-raise-error-if-redirect-with-no-location into master

Created by: stanhu

We saw this when trying to use Azure Government Cloud. When https://graph.microsoft.com/v1.0/me was used instead of https://graph.microsoft.us/v1.0/me, Azure returned a 302 response with no Location header. As a result, the OAuth2 client would mysteriously try to make a GET request to http:/, which would fail in Net::HTTP:

NoMethodError (undefined method `include?' for nil:NilClass):
/opt/gitlab/embedded/lib/ruby/2.7.0/net/http.rb:1650:in `addr_port'
/opt/gitlab/embedded/lib/ruby/2.7.0/net/http.rb:1585:in `begin_transport'
/opt/gitlab/embedded/lib/ruby/2.7.0/net/http.rb:1518:in `transport_request'
/opt/gitlab/embedded/lib/ruby/2.7.0/net/http.rb:1492:in `request'

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