[DOCS] Adds ML limitation for frozen indices (#891)

docs/en/stack/ml/anomaly-detection/limitations.asciidoc

@@ -239,4 +239,15 @@ In 6.6 and later releases, the {ref}/ml-get-job.html[get jobs API] and the
 jobs. Likewise, the {ref}/ml-get-datafeed.html[get {dfeeds} API] and the
 {ref}/ml-get-datafeed-stats.html[get {dfeed} statistics API] return a maximum of
 10,000 {dfeeds}.
-
+
+[float]
+[[ml-frozen-limitations]]
+=== Frozen indices are not supported
+
+{ref}/frozen-indices.html[Frozen indices] cannot be used in {anomaly-jobs} or 
+{dfeeds}. This limitation applies irrespective of whether you create the jobs in 
+{kib} or by using APIs. This limitation exists because it's currently not
+possible to specify the `ignore_throttled` query parameter for search requests
+in {dfeeds} or jobs. See
+{ref}/searching_a_frozen_index.html[Searching a frozen index].
+