arrow

GH-44069: [Docs][R] Add note to to_arrow() docs about collect/compute (#44094)

### Rationale for this change

Improves the documentation for the `to_arrow()` function for the use case referenced in https://github.com/apache/arrow/issues/44069.

### What changes are included in this PR?

Just docs.

### Are these changes tested?

Yes. Built and tested locally.

### Are there any user-facing changes?

Just docs.
* GitHub Issue: #44069

Authored-by: Bryce Mecum <petridish@gmail.com>
Signed-off-by: Nic Crane <thisisnic@gmail.com>