Documentation/proxy: update due to Go 1.16 behavior change (#5630)

Documentation/proxy.md

@@ -1,8 +1,9 @@
 # Proxy
 
 HTTP CONNECT proxies are supported by default in gRPC. The proxy address can be
-specified by the environment variables HTTP_PROXY, HTTPS_PROXY and NO_PROXY (or
-the lowercase versions thereof).
+specified by the environment variables `HTTPS_PROXY` and `NO_PROXY`.  Before Go
+1.16, if the `HTTPS_PROXY` environment variable is unset, `HTTP_PROXY` will be
+used instead.  (Note that these environment variables are case insensitive.)
 
 ## Custom proxy
 
@@ -12,4 +13,4 @@ connection before giving it to gRPC.
 
 If the default proxy doesn't work for you, replace the default dialer with your
 custom proxy dialer. This can be done using
-[`WithDialer`](https://godoc.org/google.golang.org/grpc#WithDialer).
+[`WithDialer`](https://godoc.org/google.golang.org/grpc#WithDialer).