docs: update migration guide to clarify proxy options changes

Author: bjohansebas

migration-v6.md

@@ -6,6 +6,7 @@ This document serves as a migration guide for `webpack-dev-server@6.0.0`.
 
 - Minimum supported `Node.js` version is `20.9.0`.
 - Support for **SockJS** in the WebSocket transport has been removed. Now, only **native WebSocket** is supported, or **custom** client and server implementations can be used.
+- The options for passing to the `proxy` have changed. Please refer to the [http-proxy-middleware migration guide](https://github.com/chimurai/http-proxy-middleware/blob/master/MIGRATION.md) for details.
 
 ## Deprecations