Connectivity: Add OpenAI and Databricks Private Link DNS

[nyanhp]

Overview/Summary

This PR fixes #890 by adding the OpenAI and Databricks Private Link DNS zones.

This PR fixes/adds/changes/removes

1. feat: private DNS zone for OpenAI.  #890

Breaking Changes

Testing Evidence

Please provide any testing evidence to show that your Pull Request works/fixes as described and planned (include screenshots, if appropriate).

As part of this Pull Request I have

• Checked for duplicate Pull Requests
• Associated it with relevant issues, for tracking and closure.
• Ensured my code/branch is up-to-date with the latest changes in the main branch
• Performed testing and provided evidence.
• Updated relevant and associated documentation.

[glloyd2010f]

Back seat quarterback here, but is there any objection to adding scm.privatelink.azurewebsites.net as well? Based on the code it should just require updating the azure_web_apps_sites array within the terraform-azurerm-caf-enterprise-scale\modules\connectivity\locals.tf to include the new zone.

[tlfzhylj]

Any chance for this to be completed?
This will also fix #851

[tlfzhylj]

I did a search for another one of the private DNS zones, and it looks like they are referenced several places.

Example: https://github.com/search?q=repo%3AAzure%2Fterraform-azurerm-caf-enterprise-scale%20azure_database_for_postgresql_server&type=code