Hi there Gothak
When you create the Azure OpenAI Service in the Azure portal, the actual model management and interaction are done through OpenAI's tools, which is why you're directed to OpenAI Studio.
This process is standard and secure. OpenAI Studio is not a third-party platform but rather an integral part of OpenAI's ecosystem.
accessing OpenAI Studio is a necessary step for using the Azure OpenAI Service, and it is safe and standard practice to do
If this helps kindly accept the answer thanks much