Clarify that Azure Blob storage requires consolidated form

Users mistakenly think they can use the storage-specific settings and
plug in Azure connection settings. This doesn't work because Workhorse
uses a single credential to access multiple containers (aka buckets).

Relates to https://gitlab.com/gitlab-org/gitlab/-/issues/270948

doc/administration/object_storage.md

@@ -288,6 +288,11 @@ Although Azure uses the word `container` to denote a collection of
 blobs, GitLab standardizes on the term `bucket`. Be sure to configure
 Azure container names in the `bucket` settings.
 
+Azure Blob storage can only be used with the [consolidated form](#consolidated-object-storage-configuration)
+because a single set of credentials are used to access multiple
+containers. The [storage-specific form](#storage-specific-configuration)
+is not supported. For more details, see [how to transition to consolidated form](#transition-to-consolidated-form).
+
 The following are the valid connection parameters for Azure. Read the
 [Azure Blob storage documentation](https://docs.microsoft.com/en-us/azure/storage/blobs/storage-blobs-introduction)
 to learn more.