net: Print error message if -proxy is specified without arguments (instead of continuing without proxy server)

Summary: This is a backport of core#20003

Test Plan: ninja && test/functional/test_runner.py feature_config_args

Reviewers: #bitcoin_abc, Fabien

Reviewed By: #bitcoin_abc, Fabien

Differential Revision: https://reviews.bitcoinabc.org/D10400