@Remy Lebeau, I don't know any other way of debugging subsequent requests and displaying verbose information apart from using -v in curl so far. @Vincent Gsell's answer helped me on giving me a north where should I go, but I'll also try taking a deep look on the information that you shared. I really appreciate the help of you all. Delphi is a quite hard language and documentation concerning these components is quite hard to find.
Thank you all guys!