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### Motivation and Context Currently, users in Python have no ability to configure default_headers for the AzureOpenAI/OpenAI clients we use. Additionally, if a user wants to set up their own AzureOpenAI/OpenAI client, this isn't possible. This PR addresses #2895. <!-- Thank you for your contribution to the semantic-kernel repo! Please help reviewers and future users, providing the following information: 1. Why is this change required? 2. What problem does it solve? 3. What scenario does it contribute to? 4. If it fixes an open issue, please link to the issue here. --> ### Description Allow users to set default_headers for Chat/Text/Embedding Completion classes for both OpenAI and AzureOpenAI. Additionally, allow users to pass in a customer OpenAI/AzureOpenAI client, if desired. Update tests accordingly. <!-- Describe your changes, the overall approach, the underlying design. These notes will help understanding how your code works. Thanks! --> ### Contribution Checklist <!-- Before submitting this PR, please make sure: --> - [ ] The code builds clean without any errors or warnings - [ ] The PR follows the [SK Contribution Guidelines](https://github.com/microsoft/semantic-kernel/blob/main/CONTRIBUTING.md) and the [pre-submission formatting script](https://github.com/microsoft/semantic-kernel/blob/main/CONTRIBUTING.md#development-scripts) raises no violations - [ ] All unit tests pass, and I have added new tests where possible - [ ] I didn't break anyone 😄 --------- Co-authored-by: Evan Mattson <[email protected]>