[docs] Add known limitations page for clients that proxy API requests

[GoDiao]

Goal

Document why some AI clients may not work with a local localhost:8787 Free-Way endpoint when they proxy API calls through remote servers.

Background

Free-Way is local-first. It works best when the client calls the custom OpenAI/Anthropic-compatible base URL directly from the user's machine. If a client sends requests through its own remote service first, localhost:8787 may refer to that remote environment instead of the user's computer.

Suggested changes

• Add a docs page explaining this limitation in plain language.
• Mention Cursor as a known example/caveat, without overclaiming every Cursor flow is the same.
• Link the page from the agent setup docs index or README agent section.
• Include a short checklist for users to verify whether a client can call local custom base URLs directly.

Acceptance criteria

• The new page explains the local endpoint/proxy problem clearly.
• It avoids claiming Free-Way supports clients that cannot directly reach local endpoints.
• The page is linked from an existing docs or README location.

[Flames4fun]

Hi! This issue looks interesting and well-scoped. I’d like to work on it :))

[GoDiao]

Sure, thanks! Please go ahead.