Proxy updates missing auth headers in agent of request

[rudyflores]

Describe the bug

In each request made when using a proxy, the authorization headers (when used) are not included in the agent, but instead is included in the request headers. We should provide this into the agent headers instead so authentication into the proxy occurs successfully.

Expected and actual results

1. In the proxy settings, define the url that requires authentication
2. In the proxy authorization setting click Edit in settings.json and replace the null property with the authentication type followed by space and the credentials in base64. Example: Basic ==MyBase64UserPassword. Note the credentials should use this pattern before encoding user:password

Describe your environment

Additional context

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