feat: Add http proxy option for curl client

[HazAT]

No description provided.

[ste93cry]

I'm entirely 👎 on this change, there have been a lot of discussions already about why the SDK client should not know the HTTP client implementation (this is why we have the concept of transports). I obviously see the convenience of having such option available and its value, but I strongly believe that if someone wants to set it then he has to set its own client. It's not that hard after all and we're devs, so it should not be a problem for us to understand how something we're using works since it's our job...

[stayallive]

This is the best of the worst options, best we can do right now.

[Jean85]

I agree with both @ste93cry and @stayallive: I would prefer not to include this option, but if we really must, this is the least painful way to do it.

Only required changes:

• make it fail hard if it's misconfigured, like setting a custom transport AND a proxy
• document it thoroughly, so the user knows that there's this limitation

[Jean85]

LGTM 👍 I've also added a test.

We should add this to the docs.