doc: document 'secureConnect' event limitation

Fixes: #10555
Signed-off-by: James M Snell <jasnell@gmail.com>
Refs: #10846

PR-URL: #38447
Reviewed-By: Alba Mendez <me@alba.sh>
Reviewed-By: Adrian Estrada <edsadr@gmail.com>

Author: jasnell

doc/api/tls.md

@@ -817,6 +817,9 @@ determine if the server certificate was signed by one of the specified CAs. If
 `tlsSocket.alpnProtocol` property can be checked to determine the negotiated
 protocol.
 
+The `'secureConnect'` event is not emitted when a {tls.TLSSocket} is created
+using the `new tls.TLSSocket()` constructor.
+
 ### Event: `'session'`
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