Document `SqlClient` limitation

[bitsandfoxes]

@bitsandfoxes Microsoft have no plans to fix this in the SqlDataReader. The issue has been marked as up for grabs but I'm not sure I'd know enough about the MS codebase to contribute personally.

I think we either leave this issue open (hoping the SqlDataReader issue gets reprioritised at some point) and/or we document the limitations of DB logging via DiagnosticListener.

Originally posted by @jamescrosswell in #2044