show-headers.md: clarify the headers are saved with the data

Fixes #15605
Reported-by: tkzv on github
Closes #15606

docs/cmdline-opts/show-headers.md

@@ -10,6 +10,7 @@ Added: 4.8
 Multi: boolean
 See-also:
   - verbose
+  - dump-header
 Example:
   - -i $URL
 ---
@@ -20,6 +21,9 @@ Show response headers in the output. HTTP response headers can include things
 like server name, cookies, date of the document, HTTP version and more. With
 non-HTTP protocols, the "headers" are other server communication.
 
+This option makes the response headers get saved in the same stream/output as
+the data. --dump-header exists to save headers in a separate stream.
+
 To view the request headers, consider the --verbose option.
 
 Prior to 7.75.0 curl did not print the headers if --fail was used in