Update data-protection.md

Author: sidramadoss

articles/stream-analytics/data-protection.md

@@ -57,6 +57,9 @@ Connection details of your resources, which are used by your Stream Analytics jo
 
 To help you meet your compliance obligations in any regulated industry or environment, you can read more about [Microsoft's compliance offerings](https://gallery.technet.microsoft.com/Overview-of-Azure-c1be3942). 
 
+## Known issues
+There is a known issue where a job using customer managed key runs into failures when using managed identity to authenticate to any inputs or outputs. A fix for this issue is being worked on and will become available in the near future. 
+
 ## Next steps
 
 * [Create an Azure Storage account](../storage/common/storage-account-create.md)