Update docs/secrets/databases/mssql.mdx (hashicorp#20623)

Added a note in the `Example for Azure SQL Database` section stating that we only support SQL auth and no Azure AD auth.

website/content/docs/secrets/databases/mssql.mdx

@@ -100,6 +100,10 @@ the proper permission, it can generate credentials.
 
 Here is a complete example using Azure SQL Database. Note that databases in Azure SQL Database are [contained databases](https://docs.microsoft.com/en-us/sql/relational-databases/databases/contained-databases) and that we do not create a login for the user; instead, we associate the password directly with the user itself. Also note that you will need a separate connection and role for each Azure SQL database for which you want to generate dynamic credentials. You can use a single database backend mount for all these databases or use a separate mount for each of them. In this example, we use a custom path for the database backend.
 
+<Note>
+  Azure SQL databases may use different authentication mechanism that are configured on the SQL server. Vault only supports SQL authentication. Azure AD authentication is not supported.
+</Note>
+
 First, we mount a database backend at the azuresql path with `vault secrets enable -path=azuresql database`. Then we configure a connection called "testvault" to connect to a database called "test-vault", using "azuresql" at the beginning of our path:
 
 ```shell-session