Make Proxy Connect Headers consistent with Prometheus

Signed-off-by: Julien Pivotto <[email protected]>

CONFIGURATION.md

@@ -113,12 +113,9 @@ The other placeholders are specified separately.
 
   # HTTP proxy server to use to connect to the targets.
   [ proxy_url: <string> ]
-
-  # Headers to pass to the HTTP proxy. If set, proxy_url must also be set.
-  [ proxy_connect_header:
-      <string>: <string> ...
-      ...
-  ]
+  # Specifies headers to send to proxies during CONNECT requests.
+  [ proxy_connect_headers:
+    [ <string>: [<secret>, ...] ] ]
 
   # Skip DNS resolution and URL change when an HTTP proxy (proxy_url) is set.
   [ skip_resolve_phase_with_proxy: <boolean> | default = false ]