Document when PersistSecurityInfo=True is needed

## File a bug

When I pass to `UseSqlServer()` connection string, it connects to the docker db and local db. But when I pass to `UseSqlServer()` `new Microsoft.Data.SqlClient.SqlConnection(connString)`, it fails to connect to the docker db but connects to the local db. Simple repo https://github.com/umbarov/dotnet-sqlserver-gh-actions with Github Actions.

Connects to the docker db and local sql server:
```c#
var context = new AppDbContext(new DbContextOptionsBuilder().UseSqlServer(connString).Options);
```

Fails to connect to the docker db, but connects to the local sql server:
```C#
var context = new AppDbContext(new DbContextOptionsBuilder().UseSqlServer(new SqlConnection(connString)).Options);
```

### Include stack traces

```
Unhandled exception. Microsoft.Data.SqlClient.SqlException (0x80131904): Login failed for user 'sa'.
at Microsoft.Data.SqlClient.SqlInternalConnection.OnError(SqlException exception, Boolean breakConnection, Action`1 wrapCloseInAction)
at Microsoft.Data.SqlClient.TdsParser.ThrowExceptionAndWarning(TdsParserStateObject stateObj, Boolean callerHasConnectionLock, Boolean asyncClose
)
```

### Include provider and version information

EF Core version: 5.0
Database provider: Microsoft.EntityFrameworkCore.SqlServer
Target framework: .NET 5.0
Operating system: Windows 10 Pro , Version: 20H2, OS build: 19042.630