Update README with SSE deprecation notice (#994)

Update README with SSE deprecation notice

Author: joshfree

README.md

@@ -2,6 +2,13 @@
 
 The Azure MCP Server implements the [MCP specification](https://modelcontextprotocol.io) to create a seamless connection between AI agents and Azure services.  Azure MCP Server can be used alone or with the [GitHub Copilot for Azure extension](https://marketplace.visualstudio.com/items?itemName=ms-azuretools.vscode-azure-github-copilot) in VS Code.  This project is in Public Preview and implementation may significantly change prior to our General Availability.
 
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+>[!WARNING]
+>**Deprecation Notice: SSE transport mode has been removed in version [0.4.0 (2025-07-15)](https://github.com/Azure/azure-mcp/blob/main/CHANGELOG.md#breaking-changes-7).**
+>
+> SSE was deprecated in MCP `2025-03-26` due to [security vulnerabilities and architectural limitations](https://blog.fka.dev/blog/2025-06-06-why-mcp-deprecated-sse-and-go-with-streamable-http/). Users must discontinue use of SSE transport mode and upgrade to version `0.4.0` or newer to maintain compatibility with current MCP clients.
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 ### ✅ VS Code Install Guide (Recommended)
 
 1. Install either the stable or Insiders release of VS Code: