SSE: Make sure to forward headers, user and cookies/OAuth token (#58897)
Fixes #58793 and Fixes https://github.com/grafana/azure-data-explorer-datasource/issues/513
Co-authored-by: Marcus Efraimsson <marcus.efraimsson@gmail.com>
(cherry picked from commit 5623b5afaf)
Co-authored-by: Kyle Brandt <kyle@grafana.com>