WebSocketClient gets the proxy setters Client has: set_proxy(),
set_proxy_basic_auth(), set_proxy_bearer_token_auth(), set_no_proxy()
and, in SSL builds, set_proxy_digest_auth(). connect() opens a CONNECT
tunnel for ws:// as well as wss:// (RFC 6455 4.1) and sends the proxy
credentials on the CONNECT request only. A proxy that does not answer
200 is reported as Error::ProxyConnection, with its status and headers
in Result.