Update notes about advanced proxy

packages/react-scripts/template/README.md

@@ -1118,6 +1118,8 @@ We don’t recommend this approach.
 
 If the `proxy` option is **not** flexible enough for you, you can get direct access to the Express app instance and hook up your own proxy middleware.
 
+You can use this feature in conjunction with the `proxy` property in `package.json`, but it is recommended you consolidate all of your logic into `src/setupTests.js`.
+
 First, install `http-proxy-middleware` using npm or Yarn:
 
 ```bash
@@ -1146,6 +1148,10 @@ module.exports = function(app) {
 };
 ```
 
+> **Note:** You do not need to import this file anywhere. It is automatically registered when you start the development server.
+
+> **Note:** This file only supports Node's JavaScript syntax. Be sure to only use supported language features (i.e. no support for Flow, ES Modules, etc).
+
 ## Using HTTPS in Development
 
 > Note: this feature is available with `[email protected]` and higher.