Add note that headers added via urllib.request.add_header are added to...

Add note that headers added via urllib.request.add_header are added to redirected requests (GH-30708) (#92005)

(cherry picked from commit f348154c)

Co-authored-by: Ashwin Ramaswami <aramaswamis@gmail.com>

Co-authored-by: Ashwin Ramaswami <aramaswamis@gmail.com>