Simplify openconnect_set_http_proxy() and report errors

Simplify openconnect_set_http_proxy() and report errors

There was a failure mode where openconnect would exit silently if given
a --proxy= argument it didn't like. Make it print errors in all cases,
and eliminate an -ENOMEM case which seems entirely gratuitous; I don't
think internal_parse_url() needs the 'const char *url' it's passed to
be hackishly writeable, so there is no need to allocate our own copy.

Signed-off-by: David Woodhouse <dwmw2@infradead.org>