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

### 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.