[Documentation]: Proxy setup instructions

[williazz]

Rum users may want to set up a proxy server--currently this documentation is missing.

1. Avoid adblockers since the default rum endpoints is recognized by ublock origin, adblocker, etc.
2. Setup their own analytics

[andypandy47]

@williazz Documentation for this would be very handy. We proxy our front end through a caddy server to enable us to white-label our customer portal with client-specific domains but this causes all of our RUM requests fail. As there is no current documentation on this, can you advise how to proxy RUM requests so that AWS will pick them up?

[JoseMPinyol]

We may also need to add support to include custom headers for the proxy setup. Currently it's not exposed and could be required to support authentication/CSRF .etc