Improve readme, that entra-ID connections in AI studio are not supported

[DOliana]

This issue is for a: (mark with an x)

- [ ] bug report -> please search issues before submitting
- [ ] feature request
- [x] documentation issue or request
- [ ] regression (a behavior that used to work and stopped in a new release)

Minimal steps to reproduce

set up the connections to openAI + AI search in AI Hub via managed identity and run the build_index script

Any log messages given by the failure

Failed to upload documents to IndexStoreType.ACS index due to: () Authorization failed.

Expected/desired behavior

upload works

Mention any other details that might be useful

I had the connections defined in AI Studio with entraID authentication (correct roles set and everything working). As soon as I switched to key-based authentication the script worked as desired.