docs(apim): SHGW + Application Insights

Author: tomkerkhove

articles/api-management/api-management-howto-app-insights.md

@@ -22,6 +22,9 @@ You can easily integrate Azure Application Insights with Azure API Management. A
 > [!NOTE]
 > In an API Management [workspace](workspaces-overview.md), a workspace owner can independently integrate Application Insights and enable Application Insights logging for the workspace's APIs. The general guidance to integrate a workspace with Application Insights is similar to the guidance for an API Management instance; however, configuration is scoped to the workspace only. Currently, you must integrate Application Insights in a workspace by configuring an instrumentation key or connection string. 
 
+> [!WARNING]
+> When using our [self-hosted gateway](self-hosted-gateway-overview.md), we do not guarantee all telemetry will be pushed to Azure Application Insights given it relies on [Application Insights' in-memory buffering](./../azure-monitor/app/telemetry-channels.md#built-in-telemetry-channels)
+
 ## Prerequisites
 
 * You need an Azure API Management instance. [Create one](get-started-create-service-instance.md) first.