[DOCS] Add information not use http scheme in http.proxy.host setting

When using the OIDC realm the `http.proxy.host` setting must not include the http scheme `http` or `https` as this results in a not working authentication. It would be great to add this to the documentation.

See:
https://github.com/elastic/elasticsearch/blob/d3c53aaa14bff37b5b2cf9902da157db78447420/docs/reference/settings/security-settings.asciidoc?plain=1#L1856C14-L1856C14