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HttpsProxyAgent does not work with request as it does not implement dispatch. This PR instead uses ProxyAgent, which works with request.
See: https://github.com/nodejs/undici/blob/e461407c63e1009215e13bbd392fe7919747ab3e/docs/api/ProxyAgent.md#proxyagentdispatchoptions-handlers
Also, implementing tests for proxies that confirm that they work correctly would be very useful, as running agents via a proxy is an important use case.