[Document] Add document about client initialization behavior for mgmt

[haolingdong-msft]

The context is here: https://github.com/Azure/azure-sdk-pr/issues/2454#issuecomment-3680426377

Thanks to @weidongxu-microsoft for finding this issue.

The bot's anwser contains incorrect context on the client initialization for mgmt. So we need to add a doc.