update connect readme

Author: toelo3

dsh_sdk/CONNECT_PROXY_VPN_LOCAL.md

@@ -2,6 +2,11 @@
 The SDK is compatible with running in a container on a DSH tenant, on DSH System Space, on a machine with Kafka
 Proxy/VPN or on a local machine to a local Kafka
 
+[DSH](#dsh)
+[System Space](#system-space)
+[Kafka Proxy/VPN](#kafka-proxyvpn)
+[Local](#local)
+
 ## DSH
 The following environment variables are required to run on DSH, and are set by DSH automatically:
 - `MESOS_TASK_ID` - The task id of the running container