DOC: Add whatsnew for #36727
xref #36727 

Was not quick enough to add a whatsnew with the PR when 1.1.4 whatsnew was merged.
Merged master to fix mypy problems Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
$ git checkout 1.1.x
$ git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
$ git cherry-pick -m1 8a25b23dd69d1e24840337797e1d20184920b5f3
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
$ git commit -am 'Backport PR #37046: DOC: Add whatsnew for #36727'
```

4. Push to a named branch :

```
git push YOURFORK 1.1.x:auto-backport-of-pr-37046-on-1.1.x
```

5. Create a PR against branch 1.1.x, I would have named this PR:

> "Backport PR #37046 on branch 1.1.x"

And apply the correct labels and milestones.

Congratulation you did some good work ! Hopefully your backport PR will be tested by the continuous integration and merged soon!

If these instruction are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                