[Event Hubs] Replace external links and exception troubleshooting with aka.ms ones

[conniey]

• Replace any external links such as the ones to OASIS docs to an aka.ms one so we can redirect it if they change.
• Add any exception messages to link to aka.ms for users to ease self-servie when debugging code.

[github-actions]

Hi @conniey, we deeply appreciate your input into this project. Regrettably, this issue has remained inactive for over 2 years, leading us to the decision to close it. We've implemented this policy to maintain the relevance of our issue queue and facilitate easier navigation for new contributors. If you still believe this topic requires attention, please feel free to create a new issue, referencing this one. Thank you for your understanding and ongoing support.