[GSK-3941] Fix Azure/OpenAI client setup docs

[henchaves]

Description

In the docs, there was a missing word (openai) when trying to call set_embedding_model.
This PR fixes the Azure/OpenAI docs, updating the code to call.

Related Issue

Linear card: GSK-3941

Type of Change

• 📚 Examples / docs / tutorials / dependencies update
• 🔧 Bug fix (non-breaking change which fixes an issue)
• 🥂 Improvement (non-breaking change which improves an existing feature)
• 🚀 New feature (non-breaking change which adds functionality)
• 💥 Breaking change (fix or feature that would cause existing functionality to change)
• 🔐 Security fix

[linear]

GSK-3941 Fix Azure OpenAI client setup docs

[sonarqubecloud]

Quality Gate passed

Issues
0 New issues
0 Accepted issues

Measures
0 Security Hotspots
0.0% Coverage on New Code
0.0% Duplication on New Code

See analysis details on SonarQube Cloud