To help users better understand where the URL (and denied scheme) comes
from. Also removed "in libcurl" from the message, since the disabling
can be done by the application.
The error message now says "not supported" or "disabled" depending on
why it was denied:
Protocol "hej" not supported
Protocol "http" disabled
And in redirects:
Protocol "hej" not supported (in redirect)
Protocol "http" disabled (in redirect)
Reported-by: Mauricio Scheffer
Fixes#12465Closes#12469
