[DOC] Add local setup doc for Ubuntu users
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Description
### Willingness to contribute
No. I cannot contribute to this at this time.
### URL(s) with the issue
_No response_
### Description of proposal (what needs changing)
User will fail to import feathr in local Ubuntu environment.
The workaround is using pip3 install azure-cli in virtualenv instead of sudo apt-get install azure-cli.
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