Report stderr output of transport proxies

Transport proxies may communicate useful information over stderr.
Thus far stderr has been ignored. We should at the very least let
the user know that we have some stderr output (NOTICE), and log it
at INFO level. For now, we assume transport proxy configuration
won't happen over stderr; but the output is meaningful.

Log transport proxy stderr output (if any) in report_proxy_stderr().

 * FIXES #9957