Add documention for BMW captcha during config flow (#36032)

Co-authored-by: Franck Nijhof <[email protected]>

source/_integrations/bmw_connected_drive.markdown

@@ -60,6 +60,15 @@ This integration provides the following platforms:
 
 Enable the `BMW Connected Drive` integration via **Settings** -> **Devices & Services**.
 
+{% important %}
+The `North America` and `Rest of world` regions require a captcha challenge to be solved, i.e. you need to verify that you are a human.
+After entering your login data, a second step will ask for a `Captcha token` and provide you with a link to a website. 
+Please open this link, solve the "are you a human?" challenge and press `Submit`.
+Copy the resulting token into Home Assistant and continue.
+
+No data of your Home Assistant instance is shared with any third party during this step.
+{% endimportant %}
+
 {% note %}
 For `china`, it is mandatory to prefix your username/phone number with `86`, i.e. `8612345678`.
 {% endnote %}