docs(event_handler): update example

Author: rubenfonseca

docs/core/event_handler/api_gateway.md

@@ -314,9 +314,16 @@ For convenience, these are the default values when using `CORSConfig` to enable
 
 You can use the `Response` class to have full control over the response, for example you might want to add additional headers, cookies, or set a custom Content-type.
 
+???+ info
+    Powertools serializes the headers and cookies according to the type of input event.
+    For some integrations this requires headers and cookies to be encoded as `multiValueHeaders`.
+
+???+ warning
+    If you use the ALB integration, make sure you [enable the multi value headers feature](https://docs.aws.amazon.com/elasticloadbalancing/latest/application/lambda-functions.html#multi-value-headers) in order to fully support this feature.
+
 === "fine_grained_responses.py"
 
-    ```python hl_lines="7 24-28"
+    ```python hl_lines="7 24-29"
     --8<-- "examples/event_handler_rest/src/fine_grained_responses.py"
     ```