Add name of deleted host/cert to "Are you sure you want to delete this Proxy Host?" warning

[AitorAstorga]

This warning is useful, but it does not say what service/host/etc you are deleting, which can lead to errors if you missclick it. Would be way more effective if the warning mentioned the name of the to be deleted thing.

[clementfavre]

@AitorAstorga proxy hosts side is in #5546, I will add the rest to the same PR