1423: Doc update: proxy_set_header required for admin r=mergify[bot] a=ofthesun9
Copy Paste of an existing PR whose upstream branch is gone
Fix#1318
## What type of PR?
documentation
## What does this PR do?
### Related issue(s)
closes#1318 (copy paste of 1318)
## Prerequistes
- [x ] In case of feature or enhancement: documentation updated accordingly
- [x ] Unless it's docs or a minor change: add [changelog](https://mailu.io/master/contributors/guide.html#changelog) entry file.
Co-authored-by: ofthesun9 <olivier@ofthesun.net>