Harry

From what I can tell, that proxy provider is intended to MITM your traffic and solve/bypass captchas and other anti-bot tools for you. In order to do that, it needs to present its own (untrusted) HTTPS certificate.
I wouldn't recommend using that provider for this purpose, but if you really wanted to, you'd need to disable TLS certificate checking in Node. This is very much not recommended, but you can do so by setting the environment variable NODE_TLS_REJECT_UNAUTHORIZED to 0.

There is no timeout for connection attempts because when Steam goes down, it can stay down for a while and we want to be able to reconnect automatically.
Add this and you can get some more descriptive output:
client.on('debug', (msg) => console.log(msg));