docs: add note about proxying state proxies

[Ocean-OS]

Closes #15175

Before submitting the PR, please make sure you do the following

• It's really useful if your PR references an issue where it is discussed ahead of time. In many cases, features are absent for a reason. For large changes, please create an RFC: https://github.com/sveltejs/rfcs
• Prefix your PR title with feat:, fix:, chore:, or docs:.
• This message body should clearly illustrate what problems it solves.
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Tests and linting

• Run the tests with pnpm test and lint the project with pnpm lint

[svelte-docs-bot]

Preview: https://svelte-dev-git-preview-svelte-16354-svelte.vercel.app/

[github-actions]

Playground

pnpm add https://pkg.pr.new/svelte@16354