fix(cli): Update build instructions for CLI

[Tiefseetauchner]

I was struggling to make the PR #11828 as the build instructions are unclear. I added that the server and open-api have to be built to develop against the open-api. Just saying "Build the OpenAPI" would not be sufficient as it requires the server to be built and that fact is burried under a gazillion lines of log in the generation script.

I hope I got the title right this time...