[docs] move anaconda warning from installation to development doc (#39562) (#39566)

Signed-off-by: Gene Su <e870252314@gmail.com>

Author: GeneDer

doc/source/ray-contribute/development.rst

@@ -271,6 +271,9 @@ directory will take effect without reinstalling the package.
 
   The ``build --disk_cache=~/bazel-cache`` option can be useful to speed up repeated builds too.
 
+.. note::
+  Warning: If you run into an error building protobuf, switching from miniconda to anaconda might help.
+
 .. _NodeJS: https://nodejs.org
 
 Building Ray on Windows (full)