Problem: Since pull request #1730 was merged, protocol for REQ socket is
checked at the session level and this check does not take into account
the possibility of a request_id being part of the message. Thus the option
ZMQ_REQ_CORRELATE would no longer work.
This is now fixed: the possiblity of a 4 bytes integer being present
before the delimiter frame is taken into account (whether or not this
breaks the REQ/REP RFC is another issue).