Better error message when HTTP_PROXY is down.

Quoting https://github.com/haskell/cabal/issues/1962:

> In order to avoid #1602 I upgraded HTTP to version 4000.2.17. But I noticed a new (minor) problem: If the proxy mentioned in http_proxy is down, I get
>
> ```
> (sid)root@kirk:~# unset http_proxy
> (sid)root@kirk:~# cabal update
> Downloading the latest package list from hackage.haskell.org
> (sid)root@kirk:~# export http_proxy=http://localhost:3128/
> (sid)root@kirk:~# cabal update
> Downloading the latest package list from hackage.haskell.org
> cabal: does not exist
> # now starting the proxy
> (sid)root@kirk:~# cabal update
> Downloading the latest package list from hackage.haskell.org
> ```
>
> Certainly the error message could be more helpful.