[Doc] Clarified when to use Mlflow logger and setup_mlflow; fix #36257

[hahahannes]

Why are these changes needed?

Information was missing about when to use Mlflow Callback or setup_mlflow. I added the explanation of @krfricke.

Related issue number

See #36257

Checks

• I've signed off every commit(by using the -s flag, i.e., git commit -s) in this PR.
• I've run scripts/format.sh to lint the changes in this PR.
• I've included any doc changes needed for https://docs.ray.io/en/master/.
  • I've added any new APIs to the API Reference. For example, if I added a
    method in Tune, I've added it in doc/source/tune/api/ under the
    corresponding .rst file.
• I've made sure the tests are passing. Note that there might be a few flaky tests, see the recent failures at https://flakey-tests.ray.io/
• Testing Strategy
  • Unit tests
  • Release tests
  • This PR is not tested :(

[stale]

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[hahahannes]

ping @krfricke

I am not sure whether the tests are related to documentation

[stale]

Hi again! The issue will be closed because there has been no more activity in the 14 days since the last message.

Please feel free to reopen or open a new issue if you'd still like it to be addressed.

Again, you can always ask for help on our discussion forum or Ray's public slack channel.

Thanks again for opening the issue!

[hahahannes]

@krfricke Hi, just a quick ping, if I shall reopen the PR ? Totally understand, that this is not an important issue

[jjyao]

@matthewdeng can you follow up.

[matthewdeng]

Thanks 😄

[matthewdeng]

nit: This should still be an since the M starts with a vowel sound.

[hahahannes]

done in the last commit

[matthewdeng]

nit:

    Keep in mind that the callback will open an MLflow session on the driver and
    not on the trainable. Therefore, it is not possible to call MLflow functions
    like ``mlflow.log_figure()`` inside the trainable as there is no MLflow session
    on the trainable. For more fine grained control, use :func:`setup_mlflow`.

[hahahannes]

done in the last commit

[hahahannes]

Hi @matthewdeng Sorry for the late response! I applied your changes, thank you!

[matthewdeng]

Thanks for the contribution! It looks like the docs are not rendering properly due to a different reason, will address that separately.