Describe unpickling expectations when cudf.pandas is enabled

[shwina]

Description

Adds to the docs the unpickling expectations that were noted in #14692.

Checklist

• I am familiar with the Contributing Guidelines.
• New or existing tests cover these changes.
• The documentation is up to date with these changes.

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[shwina]

/ok to test

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

❗ No coverage uploaded for pull request base (branch-24.02@85acdc6). Click here to learn what that means.

Additional details and impacted files

@@               Coverage Diff               @@
##             branch-24.02   #14693   +/-   ##
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  Coverage                ?   85.98%           
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  Files                   ?      175           
  Lines                   ?    27464           
  Branches                ?        0           
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  Hits                    ?    23615           
  Misses                  ?     3849           
  Partials                ?        0           

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[davidwendt]

Perhaps this addresses (or can address) #14738 as well?

[shwina]

/merge

[vyasr]

/ok to test