Clarify steps for adding an OIDC provider

[conceptualshark]

Description

Closes #3952

The OIDC configuration instructions for MS Entra were misleading, and implied that you needed one application for every component.

• Update the Entra ID instructions to clarify that each component needs its own application
• Clarify steps to be more explicit
• Update links to correct sections of MS docs
• Add note of two clients requirement for web modeler in component section
• Update use of heading from markdown to html to reduce broken links in the page TOC

When should this change go live?

• This is a bug fix, security concern, or something that needs urgent release support.
• This is already available but undocumented and should be released within a week.
• This on a specific schedule and the assignee will coordinate a release with the DevEx team. (apply hold label or convert to draft PR)
• This is part of a scheduled alpha or minor. (apply alpha or minor label)
• There is no urgency with this change and can be released at any time.

PR Checklist

• My changes are for an already released minor and are in /versioned_docs directory.
• My changes are for the next minor and are in /docs directory (aka /next/).

• My changes require an Engineering review, and I've assigned the Engineering DRI or delegate.
• My changes require a technical writer review, and I've assigned @camunda/tech-writers as a reviewer.

[github-actions]

👋 🤖 ✅ Looks like the changes were ported across versions, nice job! 🎉

You can read more about the versioning within our docs in our documentation guidelines.

[conceptualshark]

I deployed this specifically so reviewers could check out the markdown > html update in action in the TOC:
https://preview.docs.camunda.cloud/pr-4150/docs/self-managed/setup/guides/connect-to-an-oidc-provider/
https://preview.docs.camunda.cloud/pr-4150/docs/next/self-managed/setup/guides/connect-to-an-oidc-provider/
https://preview.docs.camunda.cloud/pr-4150/docs/8.4/self-managed/platform-deployment/helm-kubernetes/guides/connect-to-an-oidc-provider/

Compare to live, where the TOC includes apparently duplicated links, and only the ones in the active tab work, which is a disruptive experience: https://docs.camunda.io/docs/next/self-managed/setup/guides/connect-to-an-oidc-provider/

[Ben-Sheppard]

Just one comment but its NABD for me :)

[Ben-Sheppard]

Just wondering, if we have this in here for **each** component you would like to connect do we need the note above? Maybe though this is a case of making this point very clear :)

[github-actions]

🧹 Preview environment for this PR has been torn down.