Add information about missing Anthropic API KEY to AI Gateway Docs

What does this merge request do and why?

This MR adds a missing piece of information about where to put ones Anthropic API Keys when setting up the AI Gateway. solves: #2080 (closed)

How to set up and validate locally

Docs only MR.

Impacted categories

The following categories relate to this merge request:

• gdk-reliability - e.g. When a GDK action fails to complete.
• gdk-usability - e.g. Improvements or suggestions around how the GDK functions.
• gdk-performance - e.g. When a GDK action is slow or times out.

Merge request checklist

• This change is backward compatible. If not, please include steps to communicate to our users.
• Tests added for new functionality. If not, please raise an issue to follow-up.
• Documentation added/updated, if needed.
• Announcement added, if change is notable.
• gdk doctor test added, if needed.
• Add the ~highlight label if this MR should be included in the CHANGELOG.md.