Desktop Access: TDP Alerts are sent to WDS

Issue raised from [this PR discussion](https://github.com/gravitational/teleport/pull/66950#discussion_r3280509696). TDP Alert messages traditionally only go one way - Server -> Client. After a recent refactoring, the Proxy can sometimes send Alert message the other direction. We either need to fix this by preventing the Proxy connection logic from sending errors upstream, or add proper Alert handling to WDS so that these alerts are logged. I'm partial to the latter because it may be helpful when debugging client/server issues, but I understand that it breaks from the longstanding paradigm that Alerts only go one way.