Add SECURITY.md (#2704)

## Changes

The contents is a copy from the Python SDK.

## Why

This shows up on the right-hand side of a repository summary on GitHub
as "Security policy."

Author: pietern

SECURITY.md

@@ -0,0 +1,4 @@
+## Reporting a Vulnerability
+
+We appreciate any security concerns brought to our attention and encourage you to notify us of any potential vulnerabilities discovered in our systems or products.
+If you believe you have found a security vulnerability, please report it to us at [security@databricks.com](mailto:security@databricks.com).