[docs] Add note about accessing Azure OpenAI through a proxy (#186436)

## Summary

Closes https://github.com/elastic/observability-docs/issues/4005.

### Checklist

n/a

docs/management/connectors/action-types/openai.asciidoc

@@ -4,8 +4,8 @@
 <titleabbrev>OpenAI</titleabbrev>
 ++++
 :frontmatter-description: Add a connector that can send requests to an OpenAI provider.
-:frontmatter-tags-products: [kibana] 
-:frontmatter-tags-content-type: [how-to] 
+:frontmatter-tags-products: [kibana]
+:frontmatter-tags-content-type: [how-to]
 :frontmatter-tags-user-goals: [configure]
 
 
@@ -21,6 +21,17 @@ You can create connectors in *{stack-manage-app} > {connectors-ui}*.  For exampl
 image::management/connectors/images/gen-ai-connector.png[OpenAI connector]
 // NOTE: This is an autogenerated screenshot. Do not edit it directly.
 
+[IMPORTANT]
+====
+Elastic provides no official support for connecting to the Azure OpenAI service through a proxy.
+However if you must use a proxy,
+ensure that the proxy supports streaming and is SSE-compatible.
+Elastic will only parse streamed responses.
+
+To validate that your connectivity problems are caused by using a proxy,
+you can attempt to set up the connector and access the Azure OpenAI service without using a proxy.
+====
+
 [float]
 [[openai-connector-configuration]]
 ==== Connector configuration
@@ -46,7 +57,7 @@ image::management/connectors/images/gen-ai-params-test.png[OpenAI params test]
 
 The OpenAI actions have the following configuration properties.
 
-Body::      A JSON payload sent to the OpenAI API URL. For example: 
+Body::      A JSON payload sent to the OpenAI API URL. For example:
 +
 [source,text]
 --