Add note for docker executor

The docker executor does not work the same as the others. Add a note for
the users and points them to an issue that describes the issue.

doc/ci/interactive_web_terminal/index.md

@@ -25,6 +25,12 @@ Two things need to be configured for the interactive web terminal to work:
 NOTE: **Note:** Not all executors are
 [supported](https://docs.gitlab.com/runner/executors/#compatibility-chart).
 
+NOTE: **Note:** The `docker` executor does not keep running
+after the build script is finished. At that point, the terminal will automatically
+disconnect and will not wait for the user to finish. Please follow [this
+issue](https://gitlab.com/gitlab-org/gitlab-runner/issues/3605) for updates on
+improving this behavior.
+
 Sometimes, when a job is running, things don't go as you would expect, and it
 would be helpful if one can have a shell to aid debugging. When a job is
 running, on the right panel you can see a button `debug` that will open the terminal