Describe the issue linked to the documentation

Quite regularly when contributing to scikit-learn I realise that I need to re-build the Cython extensions. I realise this when I run pytest and get an import error. When I started contributing, I didn't know about this and I would have been rather lost when I faced this error the first time if @adrinjalali didn't tell me how to fix this. As many people will face the same issue (especially people from underrepresented groups in tech because they're often career changers), a note about re-building the extensions should be put in the documentation. The pandas team for example now recommends to their contributors to do this after each fetch and merge from upstream/main: https://pandas.pydata.org/docs/dev/development/contributing_environment.html#step-3-build-and-install-pandas

Suggest a potential alternative/fix

I think the best place to make a note about this is here in the "Note" box under point 7: https://scikit-learn.org/dev/developers/advanced_installation.html#building-from-source
Similar to the pandas documentation, it could be recommended here to run make in after each fetch and merge (or pull) from upstream/main. Additionally, it could be recommended to run make clean in case people run into unexpected errors after pulling from upstream/main.