Add warning about consequences of incorrectly using proxy_config.conf

README.md

@@ -160,6 +160,8 @@ proxy_set_header X-Forwarded-For $proxy_add_x_forwarded_for;
 proxy_set_header X-Forwarded-Proto $proxy_x_forwarded_proto;
 ```
 
+***NOTE***: If you provide this file it will replace the defaults; you may want to check the .tmpl file to make sure you have all of the needed options.
+
 #### Proxy-wide
 
 To add settings on a proxy-wide basis, add your configuration file under `/etc/nginx/conf.d` using a name ending in `.conf`.