Hi Valentin,
I can repeat your results with static files - keepalives work with HTTP/1.0 in that scenario. However, for responses via FCGI, a connection close is consistently sent. I found a post on the russian forum (thank you Google translate) that implies that the content-length header needs to be set on the application side. I had assumed that nginx would calculate the length and add the header, but this does not appear to be the case.
http://forum.nginx.org/read.php?21,1301720319,older
Thanks,
Dean