"Fake" is a less than technical term, but CONNECT was designed for HTTPS. Most proxies only allow CONNECT on port 443 for this reason, making u2nl useless, although some of them are wide open to allow for general tunneling. I'm sure that Cricket is fine with it being used as a general tunnel or they wouldn't have opened it so wide.
The issue here isn't your intent, or the original purpose of the protocol though. It is speed, cpu, and battery consumption. Data will always travel from your Droid to the Cricket proxy, if it is going to work at all.
The question is, do you want a 15 megabyte youtube video to be downloaded in a tcp connection that goes from your Droid to the Cricket proxy, and then back from the Cricket proxy into your Droid?
Or a connection that goes from your Droid, back in to your Droid using loopback on port 1025 (u2nl), and then back out your Droid into the Cricket proxy, then back from the Cricket proxy into u2nl, and then finally passed off from u2nl to the YouTube app over the loopback network interface?
Every chunk of that video data has to go back through u2nl. There is no need for it when the YouTube app is perfectly capable of talking to the Cricket proxy on its own. U2nl is designed for apps like the instant messengers that don't use http, and need to use the proxy but aren't capable of doing it themselves. That extra step of being passed through u2nl on loopback is good in cases like that because without it the program wouldn't work at all.