docs: note limitations on SQLite

### What feature or improvement would you like to see?

https://stackoverflow.com/questions/79542259/attaching-an-adbc-connection-to-an-sqlite-in-memory-database

You can't share state between stdlib sqlite and ADBC sqlite.

Start by reviewing the linked Stack Overflow question and the project’s existing SQLite and ADBC documentation. Document that state cannot be shared between stdlib SQLite and ADBC SQLite, with enough context for users to understand the limitation; done when the note is placed in the relevant documentation and renders correctly.

Written by the indexing model from the issue text.