fix: update mcp troubleshooting clarifying that the agent must be used within a context manager

[dbschmigelski]

Description

Customers continue to encounter the bug seen in strands-agents/sdk-python#96 where they do not know that they should be only using the agent within a context manager. This paired with https://github.com/strands-agents/sdk-python/pull/175/files should help guide the user better

I also modified from a list to headers, this is because we will now be able o provide links to the specific troubleshooting item.

Type of Change

• Content update/revision

Motivation and Context

strands-agents/sdk-python#96

Areas Affected

• MCP tools

Screenshots

Checklist

• I have read the CONTRIBUTING document
• My changes follow the project's documentation style
• I have tested the documentation locally using mkdocs serve
• Links in the documentation are valid and working
• Images/diagrams are properly sized and formatted
• All new and existing tests pass

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