Explicitly mention that lazy sessions do not support multi sessions

While we do mention that lazy sessions are a separate implementation of sessions, it can seem like there would be feature parity between the two plugins. We should make it explicit that this is not the case, and use multi sessions as the main example for things that lazy sessions do not support.

The original issue description is below this line.

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**ORIGINAL COMMENT**

Hang on, is this only breaking when you're using lazy multi sessions? If so, then the problem is that there are no lazy multi sessions. This isn't supported. We implemented it initially, but combining lazy sessions with multi sessions leads to numerous strange edge cases that are hard to understand and by design impossible to mitigate, so we dropped this again. If you were using TypeScript, your editor could've told you this. Since you don't seem to be using it, here is a link to the API reference of grammY which tells you this: https://deno.land/x/grammy@v1.12.4/mod.ts?s=lazySession

I'll add another example for this to the docs in the coming days. There is no bug here.

I will close this issue. Feel free to comment or reopen if you have further questions :)

_Originally posted by @KnorpelSenf in https://github.com/grammyjs/grammY/issues/345#issuecomment-1366223793_

**PROBLEM**

About the cited comment, it would be nice to have it written in the documentation [here](https://grammy.dev/plugins/session#multi-sessions) and maybe also a possible workaround example