Mention where headers were already sent if session_start fails (#16378)

We had previously improved where sessions were already started, and
where headers were already sent when setting h

Mention where headers were already sent if session_start fails (#16378)

We had previously improved where sessions were already started, and
where headers were already sent when setting headers, but not where a
header has been sent if we try to set the header cookie.

Fixes GH-16372

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