Also spell it out in the purge history API doc

docs/admin_api/purge_history_api.rst

@@ -8,6 +8,9 @@ Depending on the amount of history being purged a call to the API may take
 several minutes or longer. During this period users will not be able to
 paginate further back in the room from the point being purged from.
 
+Note that, in order to not break the room, this API won't delete the last
+message sent to it.
+
 The API is:
 
 ``POST /_synapse/admin/v1/purge_history/<room_id>[/<event_id>]``