[http-proxy-agent] emit the 'proxyConnect' event

[fflorent]

Thanks to #154, the https-proxy-agent now emits a proxyConnect.

The same has been wished for the http-proxy-agent as stated by @TooTallNate in the PR but was not possible until DefinitelyTyped/DefinitelyTyped#65408 has been merged (which is now).

It would be great to also have this for this agent as well.

Thanks for your valuable work! 🙏

[lukekarrys]

Thanks @fflorent, I think this makes sense.

I'd be happy to review any PR that implements this for http-proxy-agent.