Clearly document that grpc-go does not support talking to a CONNECT proxy using `https`

[easwars]

This has some context: grpc/grpc#35372

Our proxy documentation should clearly call out that we do not support talking to CONNECT proxies using https and mention why, and probably link to the above issue as well.

[arjan-bal]

In gRPC Go, it should be possible for users to implement a custom dialer that handles the TLS handshake with the proxy. The following stackoverflow answer may help: https://stackoverflow.com/a/78604557