CLI & toolkit: `--proxy` must include a protocol

[mrgrain]

If not, the CLI basically fails silently:

cdk notices --proxy localhost:1234

Only with verbose output we get an error:

cdk -vvv notices --proxy localhost:1234

But the error is Unsupported protocol for proxy URL: localhost:1234.

We can catch this earlier maybe.

[mrgrain]

Cannot really reproduce now, but also saw on a customer call that cdk bootstrap basically continued and errored with "need creds for account A, but don't have any" instead of a network error.