[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>