[docs] add a note about DART in early_stopping docstring (#6846)

* [python-package] add a note about DART in early_stopping docstring

* add note in R docs too

Author: jameslamb

R-package/R/lightgbm.R

@@ -69,6 +69,9 @@
 #'          in \code{params}, that metric will be considered the "first" one. If you omit \code{metric},
 #'          a default metric will be used based on your choice for the parameter \code{obj} (keyword argument)
 #'          or \code{objective} (passed into \code{params}).
+#'
+#'          \bold{NOTE:} if using \code{boosting_type="dart"}, any early stopping configuration will be ignored
+#'          and early stopping will not be performed.
 #' @section Model serialization:
 #'
 #'          LightGBM model objects can be serialized and de-serialized through functions such as \code{save}

R-package/man/lgb.cv.Rd

@@ -468,6 +468,11 @@ def early_stopping(
     To check only the first metric set ``first_metric_only`` to True.
     The index of iteration that has the best performance will be saved in the ``best_iteration`` attribute of a model.
 
+    .. note::
+
+        If using ``boosting_type="dart"``, this callback has no effect and early stopping
+        will not be performed.
+
     Parameters
     ----------
     stopping_rounds : int