fix: guard debug proxy CONNECT under managed proxy (#77010)

Summary:
- The PR adds a managed-proxy-aware debug proxy direct-upstream guard, a diagnostics override env var, regression tests, docs, and a changelog entry.
- Reproducibility: yes. Source inspection on current main shows direct HTTP forwarding and CONNECT net.connect() can run while managed proxy mode is active, against the documented managed-proxy egress guardrail.

Automerge notes:
- Ran the ClawSweeper repair loop before final review.
- Included post-review commit in the final squash: fix(clawsweeper): address review for automerge-openclaw-openclaw-7701…

Validation:
- ClawSweeper review passed for head aaa52a7f5f.
- Required merge gates passed before the squash merge.

Prepared head SHA: aaa52a7f5f
Review: https://github.com/openclaw/openclaw/pull/77010#issuecomment-4367600656

Co-authored-by: jesse-merhi <79823012+jesse-merhi@users.noreply.github.com>
Co-authored-by: clawsweeper <274271284+clawsweeper[bot]@users.noreply.github.com>

docs/cli/proxy.md

@@ -68,6 +68,7 @@ semantics.
 
 - `start` defaults to `127.0.0.1` unless `--host` is set.
 - `run` starts a local debug proxy and then runs the command after `--`.
+- The debug proxy's direct upstream forwarding opens upstream sockets for diagnostics. When OpenClaw managed proxy mode is active, direct forwarding for proxy requests and CONNECT tunnels is disabled by default; set `OPENCLAW_DEBUG_PROXY_ALLOW_DIRECT_CONNECT_WITH_MANAGED_PROXY=1` only for approved local diagnostics.
 - `validate` exits with code 1 when proxy config or destination checks fail.
 - Captures are local debugging data; use `openclaw proxy purge` when finished.