Add InvalidProxyConfigurationWarning for HTTPS proxies

[sethmlarson]

I pre-allocated #1850 for users that are receiving the issue. I have a feeling we may need to lock the conversation if it attracts too much traffic but it's better than leaving users without an official means of solving the issue.

cc @jalopezsilva

[joelverhagen]

Oh no, what have I done?

[sethmlarson]

@joelverhagen My apologies, I meant @jalopezsilva :) But I'm sure you're up to no good! ;)

[codecov]

Codecov Report

Merging #1851 into 1.25-series will not change coverage.
The diff coverage is 100.00%.

@@              Coverage Diff              @@
##           1.25-series     #1851   +/-   ##
=============================================
  Coverage       100.00%   100.00%           
=============================================
  Files               22        22           
  Lines             1999      2004    +5     
=============================================
+ Hits              1999      2004    +5     

Flag	Coverage Δ
#unittests	99.60% <100.00%> (+<0.01%)	⬆️

Impacted Files	Coverage Δ
src/urllib3/exceptions.py	100.00% <100.00%> (ø)
src/urllib3/poolmanager.py	100.00% <100.00%> (ø)

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[pquentin]

#1850 says this:

As of v1.25.x urllib3 doesn't support HTTPS proxies and the proxy will be contacted via HTTP instead when connecting to an HTTPS URL.

When I read this, it seemed to me that the change was in 1.25.x. What do you think of a wording like this instead? (Not a native speaker, so it may not make sense, it's only a suggestion.)

urllib3 up to v1.25.x doesn't support HTTPS proxies. When connecting to an HTTPS URL, urllib3 contacts the proxy via HTTP instead.

[sethmlarson]

I like your wording more @pquentin, was struggling to come up with something late last night. :)