[Doc] Update the list of UC permissions in UC guide for Azure (#4852)

## Changes
<!-- Summary of your changes that are easy to understand -->

The Azure Databricks UC documentation lists four required roles, but we
had only two. See
https://learn.microsoft.com/en-us/azure/databricks/connect/unity-catalog/cloud-storage/manage-external-locations#for-azure-data-lake-storage-containers

## Tests
<!-- 
How is this tested? Please see the checklist below and also describe any
other relevant tests
-->

- [x] relevant change in `docs/` folder
- [x] has entry in `NEXT_CHANGELOG.md` file

Author: alexott

NEXT_CHANGELOG.md

@@ -27,6 +27,7 @@
 * Update Databricks SQL objects documentation ([#4840](https://github.com/databricks/terraform-provider-databricks/pull/4840))
 * Improve documentation for `databricks_git_credential` resource ([#4837](https://github.com/databricks/terraform-provider-databricks/pull/4837))
 * Rename DLT references to Lakeflow Declarative pipelines ([#4842](https://github.com/databricks/terraform-provider-databricks/pull/4842))
+* Update the list of UC permissions in UC guide for Azure ([#4852](https://github.com/databricks/terraform-provider-databricks/pull/4852)).
 * Clarify and add more examples to `databricks_mws_network_connectivity_config` and `databricks_mws_ncc_private_endpoint_rule` documentation ([#4847](https://github.com/databricks/terraform-provider-databricks/pull/4847))
 
 ### Exporter

docs/guides/unity-catalog-azure.md

@@ -146,17 +146,29 @@ resource "azurerm_storage_container" "ext_storage" {
   container_access_type = "private"
 }
 
-resource "azurerm_role_assignment" "ext_storage" {
+resource "azurerm_role_assignment" "ext_storage_1" {
+  scope                = azurerm_storage_account.ext_storage.id
+  role_definition_name = "Storage Account Contributor"
+  principal_id         = azurerm_databricks_access_connector.ext_access_connector.identity[0].principal_id
+}
+
+resource "azurerm_role_assignment" "ext_storage_2" {
   scope                = azurerm_storage_account.ext_storage.id
   role_definition_name = "Storage Blob Data Contributor"
   principal_id         = azurerm_databricks_access_connector.ext_access_connector.identity[0].principal_id
 }
 
-resource "azurerm_role_assignment" "ext_storage" {
+resource "azurerm_role_assignment" "ext_storage_3" {
   scope                = azurerm_storage_account.ext_storage.id
   role_definition_name = "Storage Queue Data Contributor"
   principal_id         = azurerm_databricks_access_connector.ext_access_connector.identity[0].principal_id
 }
+
+resource "azurerm_role_assignment" "ext_storage_4" {
+  scope                = data.azurerm_resource_group.this.id
+  role_definition_name = "EventGrid EventSubscription Contributor"
+  principal_id         = azurerm_databricks_access_connector.ext_access_connector.identity[0].principal_id
+}
 ```
 
 Then create the [databricks_storage_credential](../resources/storage_credential.md) and [databricks_external_location](../resources/external_location.md) in Unity Catalog.