docs: update proxy option link

[btea]

Description

Additional context

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What is the purpose of this pull request?

• Bug fix
• New Feature
• Documentation update
• Other

Before submitting the PR, please make sure you do the following

• Read the Contributing Guidelines, especially the Pull Request Guidelines.
• Check that there isn't already a PR that solves the problem the same way to avoid creating a duplicate.
• Provide a description in this PR that addresses what the PR is solving, or reference the issue that it solves (e.g. fixes #123).
• Update the corresponding documentation if needed.
• Ideally, include relevant tests that fail without this PR but pass with it.

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