fix: correct Auth0 export users script and update documentation

[wassimoo]

Related Issue or Design Document

Fixes the Auth0 export script and improves the migration guide documentation for better clarity.

Changes

Script Fixes (0-get-auth0-user-data.sh)

• Added error handling and validation for environment variables.
• Fixed connection_id string interpolation bug.
• Improved polling logic with proper error states handling.
• Better user feedback with clear success/error messages.

Documentation Improvements (auth0.mdx)

• Restructured content into three clear phases:
  • Prepare Auth0 data.
  • Configure Ory project.
  • Import users to Ory.
• Added prerequisites section with all requirements upfront.
• Added tip box for finding project/workspace IDs.
• Clarified file outputs: script creates AUTH0_USERDATA.json automatically.
• Enhanced post-migration section with verification and testing steps.

Impact

• Prevents silent script failures with proper error handling
• Makes migration guide easier to follow with logical phase structure

Checklist

• I have read the contributing guidelines and signed the CLA.
• I have referenced an issue containing the design document if my change introduces a new feature.
• I have read the security policy.
• I confirm that this pull request does not address a security vulnerability.
  If this pull request addresses a security vulnerability,
  I confirm that I got approval (please contact security@ory.com) from the maintainers to push the changes.
• I have added tests that prove my fix is effective or that my feature works.
• I have added the necessary documentation within the code base (if appropriate).

[CLAassistant]

All committers have signed the CLA.

[vinckr]

Nice!
looks pretty good already, I would do a test of the script and left some comments on style.

I think the numbered list here don't add anything and in general would be better without.
there are 2 steps only anyway so its not that hard to navigate and just looks confusing in the ToC (see screenshot below).

So please remove the Phase X parts and numbered list in headings.

also in line with the style guide: "Avoid using symbols and special characters in headings."

[unatasha8]

Added a bunch of suggestions.

fixed