Update openai_compatible_server.md (#11536)

Co-authored-by: Simon Mo <[email protected]>

Author: robertgshaw2-redhat

docs/source/serving/openai_compatible_server.md

@@ -112,7 +112,13 @@ completion = client.chat.completions.create(
 
 ## Extra HTTP Headers
 
-Only `X-Request-Id` HTTP request header is supported for now.
+Only `X-Request-Id` HTTP request header is supported for now. It can be enabled
+with `--enable-request-id-headers`. 
+
+> Note that enablement of the headers can impact performance significantly at high QPS
+> rates. We recommend implementing HTTP headers at the router level (e.g. via Istio),
+> rather than within the vLLM layer for this reason.
+> See https://github.com/vllm-project/vllm/pull/11529 for more details.
 
 ```python
 completion = client.chat.completions.create(