Proxies without schemes might want to except.

:warning: **CAUTION**:  Breaking change. We may not want to take this. :warning:

This is in relation to #1182. Currently we guess what scheme to use on proxies if that scheme is not provided. This _usually_ works, but sometimes fails in unexpected ways. This would require users to be explicit about what scheme they want to use to contact the proxy.

This **will** break some users' code, without question. I am open to leaving the current behaviour in place, as it's not wrong, just a bit odd.