Document the fact that data classes use __slots__.

docs/api.rst

@@ -440,6 +440,15 @@ Some classes are just there to be data containers, this lists them.
     :ref:`discord-api-events`.
 
 
+.. warning::
+
+    Nearly all data classes here have `__slots__` defined which means that it is
+    impossible to have dynamic attributes to the data classes. The only exception
+    to this rule is :class:`Object` which was designed with dynamic attributes in
+    mind.
+
+    More information about `__slots__` can be found `in the official python documentation <https://docs.python.org/3/reference/datamodel.html#slots>`.
+
 Object
 ~~~~~~~