Display proxy protocol scheme on error

[emmanuel-ferdman]

Summary

This small PR evaluates proxy.url.scheme in the error message.

Checklist

• I understand that this PR may be closed in case there was no previous discussion. (This doesn't apply to typos!)
• I've added a test for each change that was introduced, and I tried as much as possible to make a single atomic change.
• I've updated the documentation accordingly.

[lovelydinosaur]

Thanks. ☺️