Improve connection setup instructions in DirectConnector README

[daviburg]

The DirectConnector README has manual instructions for creating API Connections that should be improved:

1. Preferred approach: Use the Connectors SDK's agent SKILL.md to ask an agent to create the necessary connection(s)
2. First fallback: Use the AI Gateway directly to create connections
3. Second fallback: Current ARM-based instructions for creating an API Connection directly (the "Azure Portal > Create Resource > API Connection" path doesn't exist in the portal)

The current instructions reference a portal path that doesn't exist. Update to reflect working approaches.