Add warning about using pickle during loading

[Mr-Geekman]

Before submitting (must do checklist)

• [x] Did you read the contribution guide?
• [x] Did you update the docs? We use Numpy format for all the methods and classes.
• [ ] Did you write any new necessary tests?
• [x] Did you update the CHANGELOG?

Proposed Changes

Look #1320.

Closing issues

Closes #1320.

[codecov-commenter]

Codecov Report

Merging #1346 (7d43e57) into master (9824888) will not change coverage. The diff coverage is n/a.

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@@           Coverage Diff           @@
##           master    #1346   +/-   ##
=======================================
  Coverage   89.13%   89.13%           
=======================================
  Files         204      204           
  Lines       12687    12687           
=======================================
  Hits        11309    11309           
  Misses       1378     1378           

Files Changed	Coverage Δ
etna/auto/runner/local.py	100.00% <ø> (ø)
etna/core/mixins.py	95.90% <ø> (ø)
etna/core/utils.py	97.56% <ø> (ø)
etna/ensembles/mixins.py	100.00% <ø> (ø)
etna/experimental/classification/base.py	100.00% <ø> (ø)
etna/pipeline/mixins.py	99.15% <ø> (ø)

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