Failures clearly returned from a (SOCKS) proxy now causes this return
code. Previously the situation was not very clear as what would be
returned and when.
In addition: when this error code is returned, an application can use
CURLINFO_PROXY_ERROR to query libcurl for the detailed error, which then
returns a value from the new 'CURLproxycode' enum.
Closes#5770
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libcurl related documentation.