Enable set_config proxy to take a function #2500

Most calls, let you pass proxy in. That is being replaced by the set_config call. However, this assumes you would wanna pass in just a single proxy URL. The set_config solution preventsI my from using a service like FreeProxy that provides many proxy URLs.

Instead, if set_config, lets you pass in a proxy url or a function that returns a proxy URL, then people like me are good.