docs: proxy needs accessible advertise client urls

Users cannot use proxy if -advertise-client-urls is set correctly.
Especially mention this in the doc to help them bypass the wrong
settings.

Documentation/proxy.md

@@ -6,6 +6,8 @@ etcd currently supports two proxy modes: `readwrite` and `readonly`. The default
 
 The proxy will shuffle the list of cluster members periodically to avoid sending all connections to a single member.
 
+The member list used by proxy consists of all client URLs advertised within the cluster, as specified in each members' `-advertise-client-urls` flag. If this flag is set incorrectly, requests sent to the proxy are forwarded to wrong addresses and then fail. The fix for this problem is to restart etcd member with correct `-advertise-client-urls` flag. After client URLs list in proxy is recalculated, which happens every 30 seconds, requests will be forwarded correctly.
+
 ### Using an etcd proxy
 To start etcd in proxy mode, you need to provide three flags: `proxy`, `listen-client-urls`, and `initial-cluster` (or `discovery`).