inputs.eventhub_consumer: Support setting a proxy

[kpdo]

Use Case

I want to be able to set a proxy for inputs.eventhub_consumer to able to consume an Azure event hub from behind a corporate proxy.

Expected behavior

I expected to be able to set a proxy in the telegraf config.

Actual behavior

Such a setting does not exist for inputs.eventhub_consumer

Additional info

The currently used library "azure-event-hubs-go" seems to not support that, see: Azure/azure-event-hubs-go#163

However, this answer suggests that it is possible using the newer "azeventhubs": Azure/azure-event-hubs-go#163 (comment)

[powersj]

We already have two other issues documenting the need to migrate away from the current library and to azeventhubs. I'd rather not have a third:

• Event Hub output plugin does not reconnect after a link is closed because of transient credit issues. #14162
• Error starting telegraf for azure eventhub_consumer with persistence file #13322

However, the suggestion here is to start using a custom connection to also grab the proxy from the environment. This addition is a bit more than just moving libraries, so we can keep this one open for now.

Happy to see a PR migrating to the new library.