I don't think you can specify a Connection header in HTTP v1.0. You only need to use one backslash to escape characters. And there should only be one \r\n between lines. The bigd monitoring daemon appends a trailing \r\n to the request, so you only need to put one at the end.
How about this:
GET /auth/?checkall=true HTTP/1.1\r\nConnection: Close\r\nHost: \r\n
If you still get a 40x error from the web server, try putting a Host header value:
GET /auth/?checkall=true HTTP/1.1\r\nConnection: Close\r\nHost: test.example.com\r\n
Aaron