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.

Start by reproducing the failure with HTTP_PROXY set to an unavailable proxy such as localhost:3128, then inspect the HTTP package's proxy request and error-handling entry points. The work is done when a down proxy produces a helpful error message instead of the reported uninformative output.

Written by the indexing model from the issue text.