[doc][faq] add warning to download models for every nodes (vllm-project#5783)

Author: youkaichao

docs/source/serving/distributed_serving.rst

@@ -35,4 +35,7 @@ To scale vLLM beyond a single machine, install and start a `Ray runtime <https:/
     $ # On worker nodes
     $ ray start --address=<ray-head-address>
 
-After that, you can run inference and serving on multiple machines by launching the vLLM process on the head node by setting :code:`tensor_parallel_size` to the number of GPUs to be the total number of GPUs across all machines.
+After that, you can run inference and serving on multiple machines by launching the vLLM process on the head node by setting :code:`tensor_parallel_size` to the number of GPUs to be the total number of GPUs across all machines.
+
+.. warning::
+    Please make sure you downloaded the model to all the nodes, or the model is downloaded to some distributed file system that is accessible by all nodes.