Make clear in docs you may need to unthunk the return from a pullback

[nickrobinson251]

e.g. "things should be unthunked before being passed to pullbacks"

• We show this in the "using ChainRules directly" example [edit: not anymore]
• And it makes sense once you think about it
• But i'd never thought about it til it was pointed out (Fix errors revealed by Zygote's tests ChainRules.jl#175 (comment))... so maybe the docs should explicitly point it out (afaict they don't).

[nickrobinson251]

As mentioned in JuliaDiff/ChainRules.jl#247
the more general "issue" is Thunks can be returned from a pullback
and we should comment on that (and the subsequent need to unthunk)