Azure AI Agent

[ekzhu]

We need to support Azure AI Agent similar to OpenAIAssistantAgent and SKAssistantAgent (#5134)

https://learn.microsoft.com/en-us/azure/ai-services/agents/overview

[abdomohamed]

Hi @ekzhu, can you assign this ticket to me. thanx.

[abdomohamed]

here is the draft PR: #6191

[victordibia]

Fixed in #6191