Add note that headers added via urllib.request.add_header are added to redirected requests (GH-30708) (#92005)

(cherry picked from commit f348154)

Co-authored-by: Ashwin Ramaswami <[email protected]>

Co-authored-by: Ashwin Ramaswami <[email protected]>

Author: miss-islington

Doc/library/urllib.request.rst

@@ -542,7 +542,8 @@ request.
    name, and later calls will overwrite previous calls in case the *key* collides.
    Currently, this is no loss of HTTP functionality, since all headers which have
    meaning when used more than once have a (header-specific) way of gaining the
-   same functionality using only one header.
+   same functionality using only one header.  Note that headers added using
+   this method are also added to redirected requests.
 
 
 .. method:: Request.add_unredirected_header(key, header)