docs: stop presenting the in-memory client as the way to connect (#3443)

docs_src/first_steps/tutorial001_client.py

@@ -0,0 +1,12 @@
+import anyio
+
+from mcp import Client
+
+
+async def main() -> None:
+    async with Client("http://localhost:8000/mcp") as client:
+        print(client.server_capabilities.model_dump(exclude_none=True))
+
+
+if __name__ == "__main__":
+    anyio.run(main)