doc: document using domain in REPL

Document that REPL uses the `domain` module to handle uncaught
exceptions, and the side effects caused by it.

PR-URL: #20382
Fixes: #19998
Reviewed-By: Vse Mozhet Byt <vsemozhetbyt@gmail.com>
Reviewed-By: Anna Henningsen <anna@addaleax.net>
Reviewed-By: Trivikram Kamat <trivikr.dev@gmail.com>
Reviewed-By: Ruben Bridgewater <ruben@bridgewater.de>
Reviewed-By: Colin Ihrig <cjihrig@gmail.com>
Reviewed-By: James M Snell <jasnell@gmail.com>

doc/api/repl.md

@@ -141,6 +141,17 @@ global or scoped variable, the input `fs` will be evaluated on-demand as
 > fs.createReadStream('./some/file');
 ```
 
+#### Global Uncaught Exceptions
+
+The REPL uses the [`domain`][] module to catch all uncaught exceptions for that
+REPL session.
+
+This use of the [`domain`][] module in the REPL has these side effects:
+
+* Uncaught exceptions do not emit the [`'uncaughtException'`][] event.
+* Trying to use [`process.setUncaughtExceptionCaptureCallback()`][] throws
+  an [`ERR_DOMAIN_CANNOT_SET_UNCAUGHT_EXCEPTION_CAPTURE`][] error.
+
 #### Assignment of the `_` (underscore) variable
 <!-- YAML
 changes:
@@ -613,7 +624,11 @@ a `net.Server` and `net.Socket` instance, see:
 For an example of running a REPL instance over [curl(1)][], see:
 [https://gist.github.com/2053342](https://gist.github.com/2053342).
 
+[`'uncaughtException'`]: process.html#process_event_uncaughtexception
 [`--experimental-repl-await`]: cli.html#cli_experimental_repl_await
+[`ERR_DOMAIN_CANNOT_SET_UNCAUGHT_EXCEPTION_CAPTURE`]: errors.html#errors_err_domain_cannot_set_uncaught_exception_capture
+[`domain`]: domain.html
+[`process.setUncaughtExceptionCaptureCallback()`]: process.html#process_process_setuncaughtexceptioncapturecallback_fn
 [`readline.InterfaceCompleter`]: readline.html#readline_use_of_the_completer_function
 [`readline.Interface`]: readline.html#readline_class_interface
 [`util.inspect()`]: util.html#util_util_inspect_object_options