Include URL of request in proxy errors

Editor assessment

`feat(proxy)` is well typed and well scoped — proxy error messages are a genuine user-facing enhancement. The nit is capitalization: 'Include URL of request' begins with an uppercase verb, where the ecosystem norm (and most tooling expectations) is lowercase. The phrasing 'URL of request' also reads slightly awkwardly versus 'request URL' or 'the requested URL', which would fit better under 50 characters. There is no body, so the changelog entry will lack context such as what the errors look like afterward; still, the intent is communicated clearly.