[SPARK-21176][WEB UI] Format worker page links to work with proxy

## What changes were proposed in this pull request?

Several links on the worker page do not work correctly with the proxy because:
1) They don't acknowledge the proxy
2) They use relative paths (unlike the Application Page which uses full paths)

This patch fixes that. It also fixes a mistake in the proxy's Location header parsing which caused it to incorrectly handle redirects.

## How was this patch tested?

I checked the validity of every link with the proxy on and off.

Author: Anderson Osagie <osagie@gmail.com>

Closes #18915 from aosagie/fix/proxy-links.