docs: add warning/caution that denylist/allowlist only affect the file export

[mtardy]

I can't count the time people have been confused by that:

1. they are applying a denylist/allowlist;
2. they are checking the event through the gRPC via tetra;
3. they still see the event they are trying to filter;
4. they are confused 😵‍💫.

We should be very clear that those filters only affect the event exported in the JSON file.

We should be very clear in the documentation of those filters which part they affect, we can use the {{< caution >}} and co to highlight this.