feat: move proxy command to ory proxy local and add UX improvements

[aeneasr]

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• I have read the contributing guidelines
  and signed the CLA.
• I have read the security policy.
• I confirm that this pull request does not address a security
  vulnerability. If this pull request addresses a security vulnerability, I
  confirm that I got green light (please contact
  security@ory.sh) from the maintainers to push
  the changes.
• I have added tests that prove my fix is effective or that my feature
  works.
• I have added necessary documentation within the code base (if
  appropriate).

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