[docs] Document shading pitfalls in the building guide

[Jackeyzhe]

Adds a short "Shaded dependencies" section to the building guide covering two
pitfalls we hit while fixing shaded-Jackson leaks into uber-jars (#3553 / #3884):

1. The Maven Shade Plugin does not relocate Multi-Release JAR entries
   (META-INF/versions/**) — unshaded classes leak into the uber-jar unless the
   shade configuration adds an explicit exclusion filter for that path.
2. combine.children="append" appends child filters to the parent's instead of
   replacing them, so a cross-module exclusion must live in the root pom.xml
   shade configuration to take effect everywhere.

Both are non-obvious and cost real debugging time; documenting them in the
building guide should help future contributors who touch the build.

Related: #3884, #4073