Update azure_application_insights Readme

[ellis-elastic]

Added links to Microsoft documentation and corrected Markdown

Type of change

• Enhancement

What does this PR do?

Added links to Microsoft documentation and corrected Markdown

Checklist

• I have reviewed tips for building integrations and this pull request is aligned with them.
• I have verified that all data streams collect metrics or logs.
• I have added an entry to my package's changelog.yml file.
• I have verified that Kibana version constraints are current according to guidelines.

Author's Checklist

• [ ]

How to test this PR locally

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• Start Time: 2022-05-18T13:26:21.397+0000

• Duration: 16 min 40 sec

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Test	Results
Failed	0
Passed	16
Skipped	0
Total	16

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🌐 Coverage report

Name	Metrics % (covered/total)	Diff
Packages	100.0% (0/0)	💚
Files	100.0% (0/0)	💚 3.589
Classes	100.0% (0/0)	💚 3.589
Methods	66.667% (4/6)	👎 -21.622
Lines	100.0% (0/0)	💚 10.983
Conditionals	100.0% (0/0)	💚

[tommyers-elastic]

LGTM - thanks!