[DOCS] Update docs about linear tree and monotone constraints

docs/Parameters.rst

@@ -139,6 +139,8 @@ Core Parameters
 
       -  **Note**: setting ``linear_tree=true`` significantly increases the memory use of LightGBM
 
+      -  **Note**: if you specify ``monotone_constraints``, constraints will be enforced when choosing the split points, but not when fitting the linear models on leaves.
+
 -  ``data`` :raw-html:`<a id="data" title="Permalink to this parameter" href="#data">&#x1F517;&#xFE0E;</a>`, default = ``""``, type = string, aliases: ``train``, ``train_data``, ``train_data_file``, ``data_filename``
 
    -  path of training data, LightGBM will train from this data

include/LightGBM/config.h

@@ -158,6 +158,7 @@ struct Config {
   // descl2 = **Note**: only works with CPU and ``serial`` tree learner
   // descl2 = **Note**: ``regression_l1`` objective is not supported with linear tree boosting
   // descl2 = **Note**: setting ``linear_tree=true`` significantly increases the memory use of LightGBM
+  // descl2 = **Note**: if you specify ``monotone_constraints``, constraints will be enforced when choosing the split points, but not when fitting the linear models on leaves.
   bool linear_tree = false;
 
   // alias = train, train_data, train_data_file, data_filename