docs: note about state in setup stores

See #2324

packages/docs/core-concepts/index.md

@@ -68,6 +68,8 @@ In _Setup Stores_:
 - `computed()`s become `getters`
 - `function()`s become `actions`
 
+Note you **must** return **all state properties** in setup stores for pinia to pick them up as state. In other words, you cannot have _private_ state properties in stores.
+
 Setup stores bring a lot more flexibility than [Option Stores](#option-stores) as you can create watchers within a store and freely use any [composable](https://vuejs.org/guide/reusability/composables.html#composables). However, keep in mind that using composables will get more complex when using [SSR](../cookbook/composables.md).
 
 Setup stores are also able to rely on globally _provided_ properties like the Router or the Route. Any property [provided at the App level](https://vuejs.org/api/application.html#app-provide) can be accessed from the store using `inject()`, just like in components: