fix(cli): proxy is not configured correctly (#32213)

We were using the `localAddress` of the request handler options, which
is the incorrect property. Instead, create an instance of `ProxyAgent`,
passing the CA certificate and a function that resolves to the proxy
address option from the command line. If no proxy address was passed, it
defaults to the environment variables.

Tested manually using `mitmproxy` with a custom certificate. 

While testing this, I noticed that the retry strategy function was
incorrect.

Closes #32208

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Author: otaviomacedo