[Nit] Add Note on SigOpt being in Public Archive Mode (#38610)

* add note on sigopt

* update

* Update docs/source/en/hpo_train.md

Co-authored-by: Steven Liu <59462357+stevhliu@users.noreply.github.com>

---------

Co-authored-by: Steven Liu <59462357+stevhliu@users.noreply.github.com>

docs/source/en/hpo_train.md

@@ -19,6 +19,9 @@ Hyperparameter search discovers an optimal set of hyperparameters that produces
 
 This guide will go over how to set up a hyperparameter search for each of the backends.
 
+> [!WARNING]
+> [SigOpt](https://github.com/sigopt/sigopt-server) is in public archive mode and is no longer actively maintained. Try using Optuna, Weights & Biases or Ray Tune instead.
+
 ```bash
 pip install optuna/sigopt/wandb/ray[tune]
 ```