DOC: Add hint for "Product space too large"
Adds a note to the documentation for `DataFrame.groupby` suggesting that the cause of a `Product space too large to allocate arrays!`  error may be from unexpected behavior when grouping on a combination of sparse categorical columns.

- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry
