DOC: warn about when to not use the interchange protocol
examples of critical issues:
- #57664 
- #57643 

my major issue with the interchange protocol is that the consortium insisted on upstreaming it to pandas - too late for that now anyway

- [ ] closes #xxxx (Replace xxxx with the GitHub issue number)
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

Thanks @MarcoGorelli  Maybe we should just start promoting the Arrow C data interface alongside the Arrow PyCapsule interface? IIRC one of the only structural things that it seemed like wasn't being solved there was for GPU-use, but I believe that has since been solved sounds good to me!