Clarified PreTrainedModel.from_pretrained warning messages in documentation.

pytorch_transformers/modeling_utils.py

@@ -365,6 +365,11 @@ class PreTrainedModel(nn.Module):
         The model is set in evaluation mode by default using ``model.eval()`` (Dropout modules are deactivated)
         To train the model, you should first set it back in training mode with ``model.train()``
 
+        The warning ``Weights from XXX not initialized from pretrained model`` means that the weights of XXX do not come pre-trained with the rest of the model.
+        It is up to you to train those weights with a downstream fine-tuning task.
+
+        The warning ``Weights from XXX not used in YYY`` means that the layer XXX is not used by YYY, therefore those weights are discarded.
+
         Parameters:
             pretrained_model_name_or_path: either: