[Docs] Add missing warning from #3836

[wsmoses]

Looks like the warning got dropped before merging

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 97.50%. Comparing base (e78a3a4) to head (d829d0a).
Report is 3 commits behind head on master.

Additional details and impacted files

@@            Coverage Diff             @@
##           master    #3842      +/-   ##
==========================================
- Coverage   97.90%   97.50%   -0.41%     
==========================================
  Files          44       44              
  Lines        6028     6017      -11     
==========================================
- Hits         5902     5867      -35     
- Misses        126      150      +24     

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[odow]

I decided not to add this in that PR because we never mention AutoEnzyme. I'm reticent to specifically call out DI for failing to work with one example with Enzyme, and "May be slower" is not important (performance is not the most important consideration) for JuMP users.

We also already have a native Enzyme code example in the tutorial above, which seems preferable to me.

How about something more generic:

# !!! warning
#     The JuMP developers cannot help you debug error messages related to
#     DifferentiationInterface. If the operator works, it works. If not, we
#     suggest you try a different automatic differentiation library. See
#     [juliadiff.org](https://juliadiff.org/) for details.

[odow]

Doc build failed because of the switch in the last few hours from Julia 1.10 to Julia 1.11. It's fixed (by pinning 1.10) on master.

[wsmoses]

sure/done