docs(material/datepicker): add note about locale data in date-fns

Adds a note about how locale data should be provided for users that consume the `date-fns` adapter.

Fixes #24026.

Author: crisbeto

src/material/datepicker/datepicker.md

@@ -290,6 +290,10 @@ from `@angular/core`. If you want to override it, you can provide a new value fo
 export class MyApp {}
 ```
 
+**Note:** if you're using the `MatDateFnsModule`, you have to provide the data object for your
+locale to `MAT_DATE_LOCALE`, instead of the locale code. Locale data for `date-fns` can be imported
+from `date-fns/locale`.
+
 It's also possible to set the locale at runtime using the `setLocale` method of the `DateAdapter`.
 
 <!-- example(datepicker-locale) -->