docs(sdk): add loading and error states to docs (#49246)

* document loader and error states

* document loader and error states in the docs

* revert changes to README.md

Co-authored-by: Jeff Bruemmer <jeff.bruemmer@gmail.com>

---------

Co-authored-by: Jeff Bruemmer <jeff.bruemmer@gmail.com>

docs/embedding/sdk/appearance.md

@@ -167,3 +167,16 @@ const theme = {
     },
 };
 ```
+
+### Customizing loader and error components
+
+You can provide your own components for loading and error states by specifying `loaderComponent` and `errorComponent` in the config.
+
+```tsx
+import { defineEmbeddingSdkConfig } from "@metabase/embedding-sdk-react";
+
+const config = defineEmbeddingSdkConfig({
+  loaderComponent: () => <div>Analytics is loading...</div>,
+  errorComponent: ({ message }) => <div>There was an error: {message}</div>,
+});
+```