Added Engine Disposal Documentation
Created hyperlink to SQLAlchemy docs for Engine Disposal
responsibilities of user. Unified wording of legacy support for sqlite

- [x] closes #23086 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Can you fix merge conflict and address comments? can you merge master and revert the 0.25.1 file Nice idea but looks like this has gone stale so closing; ping if you'd like to pick this back up