docs: Edits to BUILD.md

[kagarmoe]

Description of changes:

Edits the BUILD.md and organizes it more to the existing template.

Call-outs:

1. How do we want to discuss what we do (and don't) support?
2. Aside from mlock memory management, are there any more issues that we should add to the build troubleshooting section?

[github-actions[bot]]

This PR has been automatically marked as stale because it has not had recent activity. It will be closed if no further activity occurs. Thank you for your contributions.

[dougch]

partially superseded by #4343