[Feature]: Add install verification step and Windows guidance to the agent skills install docs

Use case

A developer on Windows follows the site's primary install path (npx skills add) to use the agent skills with Claude Code, Codex, or Cursor. The installer reports success, but the skills never load in the agent (see bug #[X]). Because the failure is silent, the developer's next observation is an unskilled agent defaulting to SQLite/Postgres/the mssql/server image, and the natural conclusion is "the skills don't work," which reads as a product failure rather than an install failure.

Current workaround

Manually copying the skill folders into the agent's documented skills directory (e.g. .claude/skills for Claude Code), per the README's manual install method. Verified working: all 10 skills load and trigger as designed after the copy.

Proposed behavior

1. A one-line verification step at the end of the install instructions: start the agent and ask "what skills do you have available," and confirm the azuresql-db skills appear. Catches silent install failures immediately.
2. A Windows note documenting the manual copy as the reliable path until the CLI's Windows install (symlink step) is validated.

Who benefits

All developers

Urgency

Important for my Public Preview adoption

Additional context

Related: bug #[X] (root cause: skills installed to .agents/skills, agent-specific link not created on Windows). Only Claude Code verified; other agents likely affected the same way.