[3.x] Add error messages and docs to explain restrictions when calling NetworkedMultiplayerCustom.initialize() #63637
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This is another follow-up to #63163 (which is similar to PR #63628)
The same user who was testing the feature there, made another suggestion for where error messages and documentation would have been helpful in understanding the restrictions when calling
NetworkedMultipalyerCustom.initialize()
This PR adds that too!