Add a note about anchor tags not working with the basic proxy

Created by: Mk-Etlinger

Hi there,

Hope this is helpful for other people. It's not immediately clear from the docs that when clicking on a relative link, to initiate an Oauth2 flow for example, the proxy doesn't work because of the Accept header is text/html.

Happy to re-word this to make it more clear. Let me know and I can fix.

Thanks!