proxy: reject attempts to use unsupported proxy schemes

I discovered some people have been using "https://example.com" style
strings as proxy and it "works" (curl doesn't complain) because curl
ignores unknown schemes and then assumes plain HTTP instead.

I think this misleads users into believing curl uses HTTPS to proxies
when it doesn't. Now curl rejects proxy strings using unsupported
schemes instead of just ignoring and defaulting to HTTP.