Hi @Daksh Kalucha,
Thank you for reaching out to Microsoft Q&A forum!
I understand that the issue you are facing while creating a vector store using the AzureOpenAI client. After analyzing your query, it seems that the AzureOpenAI client does not support the custom chunking_strategy parameter while creating a vector store. Might be the AzureOpenAI client is not updated with the latest changes made by OpenAI library.
We recommend waiting for an update from AzureOpenAI that includes support for the "chunking_strategy" parameter. However, you can keep an eye on the Azure OpenAI Service release notes for updates on What's new in Azure OpenAI Service page will be updated accordingly with more details.
I hope you understand! Thank you.