[Backport 8.9] Add important flag to proxy config docs (#2042)

(cherry picked from commit f7ed039)

Co-authored-by: Josh Mock <[email protected]>

docs/connecting.asciidoc

@@ -539,7 +539,7 @@ If you need to pass through an http(s) proxy for connecting to {es}, the client
 out of the box offers a handy configuration for helping you with it. Under the 
 hood, it uses the https://github.com/delvedor/hpagent[`hpagent`] module.
 
-In versions 8.0+ of the client, the default `Connection` type is set to `UndiciConnection`, which does not support proxy configurations.
+IMPORTANT: In versions 8.0+ of the client, the default `Connection` type is set to `UndiciConnection`, which does not support proxy configurations.
 To use a proxy, you will need to use the `HttpConnection` class from `@elastic/transport` instead.
 
 [source,js]