DOC: Add note about shallow clones in contributing guide
- [ ] closes #xxxx
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

I didn't open a new issue for this, let me know if I should, I'll gladly do it (I got the impression that that's not mandatory by reading the contributing guidelines).

Feel also free to close without merging if I'm the only person who got confused by this.