fix: add logging when encountering error while trying to proxy

[VitaliyR]

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Summary

I don't yet have time to continue with #7034, so grabber that single line, which eases the debugging of Could not proxy requests.

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📊 Benchmark results

Comparing with dc80e9d

• Dependency count: 1,075 (no change)
• Package size: 295 MB (no change)
• Number of ts-expect-error directives: 385 (no change)