[feature] support setting correlationId for a group of API calls

[archerzz]

Description

Customer Citrix is asking for solution to support set correlationId of group of API calls.

Citrix team are using.Net SDK to start/deallocate VMs (VDI scenario) in Azure. Currently when Citrix team are trying to start say 2500 VMs we get 2500 correlation IDs and it becomes difficult to batch them together to measure end to end customer experience.

We want to see if there is an option to pass cloud correlation ID in the header using .Net SDK so that we get one correlation ID for all 2500 VMs start request

[Note]: Migrated from ADO 6177

[archerzz]

See the discussion in Azure/autorest.csharp#1638

Customers can refer to https://github.com/Azure/azure-sdk-for-net/blob/main/sdk/core/Azure.Core/samples/Pipeline.md for details on how to set headers through policy.