Add notice regarding custom gradient support in Windows

[karllessard]

Custom gradient registration in Windows is broken since we've upgraded to TF 2.10.1. Since this is not a strongly used feature, we'll keep it like that and simply adding a notice for users who might face this problem.

See #486

[Craigacp]

Is it worth adding an explicit windows check so we can throw UnsupportedOperationException rather than have the JVM go down?