[docs] refine the doc for `train with a script` (#33423)
* add xpu note
* add one more case
* add more
* Update docs/source/en/run_scripts.md
Co-authored-by: Steven Liu <59462357+stevhliu@users.noreply.github.com>
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Co-authored-by: Steven Liu <59462357+stevhliu@users.noreply.github.com>
