docs: Add Local Setup Guide, minor fixes

[Yamini-Microsoft]

Purpose

• This pull request updates the deployment documentation for Databricks and Fabric to clarify the process of creating and using a dedicated databricks folder in the Fabric workspace before mirroring the Azure Databricks catalog. The changes improve step-by-step instructions and ensure consistency between setup and deployment guides.

Documentation improvements for Databricks and Fabric integration:

• Updated instructions in docs/SetupDatabricks.md to require users to create and navigate into a databricks folder before adding a mirrored Azure Databricks catalog, providing clearer navigation steps.
• Revised steps in docs/DeploymentGuideDatabricks.md for mirroring the Unity Catalog in Fabric, now instructing users to create and use a databricks folder prior to catalog mirroring, with step numbers and screenshots adjusted accordingly.
• Minor formatting and clarity improvements throughout docs/DeploymentGuideDatabricks.md, such as removing unnecessary blank lines and enhancing example query instructions. [1] [2] [3]

Does this introduce a breaking change?

• Yes
• No

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