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Pass connection_verify=False when creating the client: DocumentIntelligenceClient(endpoint=..., credential=..., connection_verify=False). This is documented in the azure-core configuration options and was confirmed by the Azure SDK maintainer on this issue. Note the security caveat: with verification off you will not validate the certificate when talking to the service, so only use this behind a trusted corporate proxy, never against the public internet.
Source: https://github.com/Azure/azure-sdk-for-python/issues/36003
Source: https://github.com/Azure/azure-sdk-for-python/issues/36003