Allow connection objects in `from_sql` + small doc improvement
_The documentation is not available anymore as the PR was closed or merged._
Allow connection objects in `from_sql` (emit a warning that they are cachable) and add a tip that explains the format of the con parameter when provided as a URI string.

PS: ~~This PR contains a parameter link, so https://github.com/huggingface/doc-builder/pull/311 needs to be merged before it's "ready for review".~~ Done!