[docs][python] enhance `keep_training_booster` param description (#4364)

python-package/lightgbm/engine.py

@@ -128,6 +128,7 @@ def train(params, train_set, num_boost_round=100,
     keep_training_booster : bool, optional (default=False)
         Whether the returned Booster will be used to keep training.
         If False, the returned value will be converted into _InnerPredictor before returning.
+        This means you won't be able to use ``eval``, ``eval_train`` or ``eval_valid`` methods of the returned Booster.
         When your model is very large and cause the memory error,
         you can try to set this param to ``True`` to avoid the model conversion performed during the internal call of ``model_to_string``.
         You can still use _InnerPredictor as ``init_model`` for future continue training.