Add clarifications to the docs regarding `to_feather`
- [X] closes https://github.com/pandas-dev/pandas/issues/28208
- [ ] tests added / passed
- [ ] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [ ] whatsnew entry

As discussed in https://github.com/pandas-dev/pandas/issues/28208, the docs should be more precise about in which cases `to_feather()` will fail.
@jreback can this be merged? thanks @jmakov 