CURLOPT_HEADERDATA.3: warn DLL users must set write function

CURLOPT_HEADERDATA.3: warn DLL users must set write function

- Warn that in Windows if libcurl is running from a DLL and if
  CURLOPT_HEADERDATA is set then CURLOPT_WRITEFUNCTION or
  CURLOPT_HEADERFUNCTION must be set as well, otherwise the user may
  experience crashes.

We already have a similar warning in CURLOPT_WRITEDATA. Basically, in
Windows libcurl could crash writing a FILE pointer that was created by
a different C runtime. In Windows each DLL that is part of a program may
or may not have its own C runtime.

Ref: https://github.com/curl/curl/issues/10231

Closes https://github.com/curl/curl/pull/10233