[Bug] Setting up local conda env gets stuck

I came across [these](https://github.com/Azure/azureml-examples/blob/main/python-sdk/tutorials/automl-with-azureml/README.md) instructions while doing this [tutorial](https://docs.microsoft.com/en-us/azure/machine-learning/tutorial-auto-train-models). It's linked as "Install the full automl client" under "Prerequisites".

Following the instructions on my machine, running automl_setup gets stuck while "Installing pip dependencies". I let it run for 5hours+. It did not complete.

I stumbled upon [MachineLearningNotebooks](https://github.com/Azure/MachineLearningNotebooks/tree/master/how-to-use-azureml/automated-machine-learning) repo, which has similar instructions, and it does not have this issue. May be we should link to that repo instead?