Update default proxy construction in HTTPTransport to include SSL context

[DHerls]

Summary

When a user created an HTTPTransport and supplied a URL for their proxy, the SSLContext was not passed to the created proxy. This caused some confusion when I ran into it the first time.

Now, the SSLContext is passed to the proxy when constructing by default.

Checklist

• I understand that this PR may be closed in case there was no previous discussion. (This doesn't apply to typos!)
• I've added a test for each change that was introduced, and I tried as much as possible to make a single atomic change.
• I've updated the documentation accordingly.