I wonder why no one has defined a multi-part message format. The server would deliver a single file, which would start with the HTML and be followed by images and other assets. This approach should play nice with all the proxies (which would see a single octet stream), and, since the pipelining multiplexes everything on a single connection anyway, deliver similar performance.
I understand that no one wants to define a new format, but I don't see how it is more difficult than defining a new protocol.