Update Code Suggestions setup doc

What does this MR do and why?

• Clarify the steps for AI Gateway setup
• Differentiate between setting up through GDK and setting up externally
• Update the GDK setup link to point to the merged GDK doc instead of the MR

Note: there is also a related MR to update the GDK setup doc Update doc for AI Gateway setup (gitlab-development-kit!3748 - merged)

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