[Task] Add additional documentation to support using APIM as a proxy

[MSNev]

Review the main readme and the documentation in the docs folder to review the best location to add additional documentation about using Azure APIM as a proxy to support the issues documented in this post
Using Azure API Management as a proxy for Application Insights Telemetry

Be as brief as possible and include a direct link to the article rather than repeating in the readme.

Consider adding a link and details to the Readme.md in the docs folder in the FAQ section