add warning to docs about nonlinear solver for DAEs

Author: ChrisRackauckas

docs/src/massmatrixdae/Rosenbrock.md

@@ -10,6 +10,13 @@ At medium tolerances `>1e-8` it is recommended you use `Rodas5P` or `Rodas4P`,
 the former is more efficient, but the latter is more reliable.
 For larger systems look at multistep methods.
 
+!!! warn
+
+    In order to use OrdinaryDiffEqRosenbrock with DAEs that require a non-trivial
+    consistent initialization, a nonlinear solver is required and thus
+    `using OrdinaryDiffEqNonlinearSolve` is required or you must pass an `initializealg`
+    with a valid `nlsolve` choice.
+
 ## Example usage
 
 ```julia