Add docs for cluster.remote.*.proxy setting (#40281)

In #33062 we introduced the `cluster.remote.*.proxy` setting for proxied
connections to remote clusters, but left it deliberately undocumented since it
needed followup work so that it could work with SNI. However, since #32517 is
now closed we can add this documentation and remove the comment about its lack
of documentation.

docs/reference/modules/remote-clusters.asciidoc

@@ -227,7 +227,7 @@ PUT _cluster/settings
   clusters are kept alive. If set to `-1`, application-level ping messages to
   this remote cluster are not sent. If unset, application-level ping messages
   are sent according to the global `transport.ping_schedule` setting, which
-  defaults to ``-1` meaning that pings are not sent.
+  defaults to `-1` meaning that pings are not sent.
 
 `cluster.remote.${cluster_alias}.transport.compress`::
 
@@ -237,6 +237,14 @@ PUT _cluster/settings
   Elasticsearch compresses the response. If unset, the global
   `transport.compress` is used as the fallback setting.
 
+`cluster.remote.${cluster_alias}.proxy`::
+
+  Sets a proxy address for the specified remote cluster. By default this is not
+  set, meaning that Elasticsearch will connect directly to the nodes in the
+  remote cluster using their <<advanced-network-settings,publish addresses>>.
+  If this setting is set to an IP address or hostname then Elasticsearch will
+  connect to the nodes in the remote cluster using this address instead.
+
 [float]
 [[retrieve-remote-clusters-info]]
 === Retrieving remote clusters info

server/src/main/java/org/elasticsearch/transport/RemoteClusterAware.java

@@ -145,8 +145,6 @@ public abstract class RemoteClusterAware {
 
     /**
      * A proxy address for the remote cluster.
-     * NOTE: this settings is undocumented until we have at last one transport that supports passing
-     * on the hostname via a mechanism like SNI.
      */
     public static final Setting.AffixSetting<String> REMOTE_CLUSTERS_PROXY = Setting.affixKeySetting(
             "cluster.remote.",