VBA Multiple WinHTTP Aysnc Requests in same Sub

Question

What I need

• Ability to hit an endpoint on my webserver multiple times in a single call to my sub
• Each http call is done asynchronously.
• Each http call is done with no caching / no cache busting workarounds which fill my cache.
• Each http calls is not slowed down much compared to a normal http call.

What I have tried

Given caching issues with MSXML2.XMLHTTP60 and issues with MSXML2.ServerXMLHTTP on corporate networks, I am using WinHttp.WinHttpRequest.5.1.

I have this code:

Sub winhttp_test()
    Dim http As Object
    Set http = CreateObject("WinHttp.WinHttpRequest.5.1")

    http.Open "GET", "http://localhost:6969/test/winhttp_1", True
    http.setRequestHeader "Content-Type", "application/x-www-form-urlencoded"
    http.setRequestHeader "Cache-Control", "max-age=0"
    http.send

    'Set http = CreateObject("WinHttp.WinHttpRequest.5.1")

    http.Open "GET", "http://localhost:6969/test/winhttp_2", True
    http.setRequestHeader "Content-Type", "application/x-www-form-urlencoded"
    http.setRequestHeader "Cache-Control", "max-age=0"
    http.send
    MsgBox "done"
End Sub

My server never sees the first request (even if I uncomment the commented line).
If I remove the MsgBox call, then my server sees neither request. It's like the send won't work if the object is destroyed straight after the call.

If I use ServerXMLHTTP on a machine with no network issues, I get the same issue.

(note: /test is the path to the end point. So both calls are hitting the same endpoint but with a different parameter the the url. I've tried instead to use GET and POST paramters, but the issue remains the same).

How do I achieve the behaviour I need?