RFR: 1838: better error message when download fails

[Zhao Song]

Sometimes, users may want to run jcheck locally before creating PRs. However, Oracle employees who are connected to the Oracle VPN and have not set the https_proxy environment variable may encounter a "connect exception" error. 
In this patch, we will provide users with more information in the case of a "connect exception" error while running jcheck.

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Commit messages:
 - SKARA-1838

Changes: https://git.openjdk.org/skara/pull/1486/files
 Webrev: https://webrevs.openjdk.org/?repo=skara&pr=1486&range=00
  Issue: https://bugs.openjdk.org/browse/SKARA-1838
  Stats: 3 lines in 1 file changed: 3 ins; 0 del; 0 mod
  Patch: https://git.openjdk.org/skara/pull/1486.diff
  Fetch: git fetch https://git.openjdk.org/skara.git pull/1486/head:pull/1486

PR: https://git.openjdk.org/skara/pull/1486