This is how Windows Integrated Authentication (NTLM) works. NTLM is a connection-based authentication mechanism and actually includes 3 calls to establish an authenticated session.
The TFS API then transitions to unusual lengths to make sure that this handshake is performed in the most efficient way. He will keep the authenticated connection open for a certain period of time to avoid this hand shake where possible. It will also perform initial authentication using the HTTP payload with minimal content, and then send a real message if the message you are about to send is a certain length. He also performs many other tricks to optimize the connection with TFS.
Basically, I would just leave him alone, as it works well.
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