What is the "Upgrade-Insecure-Requests" HTTP header?

Short answer: it's closely related to the Content-Security-Policy: upgrade-insecure-requests response header, indicating that the browser supports it (and in fact prefers it).

It took me 30mins of Googling, but I finally found it buried in the W3 spec.

The confusion comes because the header in the spec was HTTPS: 1, and this is how Chromium implemented it, but after this broke lots of websites that were poorly coded (particularly WordPress and WooCommerce) the Chromium team apologized:

"I apologize for the breakage; I apparently underestimated the impact based on the feedback during dev and beta."
— Mike West, in Chrome Issue 501842

Their fix was to rename it to Upgrade-Insecure-Requests: 1, and the spec has since been updated to match.

Anyway, here is the explanation from the W3 spec (as it appeared at the time)...

The HTTPS HTTP request header field sends a signal to the server expressing the client’s preference for an encrypted and authenticated response, and that it can successfully handle the upgrade-insecure-requests directive in order to make that preference as seamless as possible to provide.

...

When a server encounters this preference in an HTTP request’s headers, it SHOULD redirect the user to a potentially secure representation of the resource being requested.

When a server encounters this preference in an HTTPS request’s headers, it SHOULD include a Strict-Transport-Security header in the response if the request’s host is HSTS-safe or conditionally HSTS-safe [RFC6797].

This explains the whole thing:

The HTTP Content-Security-Policy (CSP) upgrade-insecure-requests directive instructs user agents to treat all of a site's insecure URLs (those served over HTTP) as though they have been replaced with secure URLs (those served over HTTPS). This directive is intended for web sites with large numbers of insecure legacy URLs that need to be rewritten.

The upgrade-insecure-requests directive is evaluated before block-all-mixed-content and if it is set, the latter is effectively a no-op. It is recommended to set one directive or the other, but not both.

The upgrade-insecure-requests directive will not ensure that users visiting your site via links on third-party sites will be upgraded to HTTPS for the top-level navigation and thus does not replace the Strict-Transport-Security (HSTS) header, which should still be set with an appropriate max-age to ensure that users are not subject to SSL stripping attacks.

Source: https://developer.mozilla.org/en-US/docs/Web/HTTP/Headers/Content-Security-Policy/upgrade-insecure-requests