Added Note about TextField in Header cell (#11858)

Fixes https://github.com/vaadin/framework/issues/9089

documentation/components/components-grid.asciidoc

@@ -721,6 +721,13 @@ yearsCell.setHtml("<b>Years</b>");
 You can set a component in a header or footer cell with
 [methodname]#setComponent()#. Often, this feature is used to allow filtering.
 
+[NOTE]
+====
+Note, when you use [methodname]#setComponent(TextField)#, the [classname]#TextField# will be rendered in compact mode
+without caption and icon. If you need to override this behavior, you need to wrap the [classname]#TextField# e.g.
+into [classname]#HorizontalLayout#.
+====
+
 ////
 // commented out until filtering is sorted for 8
 [[components.grid.filtering]]