Docs improvement: Group Milestones API doesn't return subgroups' issues

doc/api/group_milestones.md

@@ -144,6 +144,11 @@ Parameters:
 | `id` | integer/string | yes | The ID or [URL-encoded path of the group](README.md#namespaced-path-encoding) owned by the authenticated user |
 | `milestone_id` | integer | yes | The ID of a group milestone |
 
+Currently, this API endpoint doesn't return issues from any subgroups.
+If you want to get all the milestones' issues, you can instead use the
+[List issues API](issues.md#list-issues) and filter for a
+particular milestone (for example, `GET /issues?milestone=1.0.0&state=opened`).
+
 ## Get all merge requests assigned to a single milestone
 
 Gets all merge requests assigned to a single group milestone.