bpo-45089: Improve sqlite3 trace callback docs (GH-28238) (GH-28371)

- Add link to str object and sqlite3 transaction control
- Mention that exceptions are not propagated
(cherry picked from commit 51056b4)

Co-authored-by: Erlend Egeberg Aasland <erlend.aasland@innova.no>

Doc/library/sqlite3.rst

@@ -451,14 +451,22 @@ Connection Objects
  Registers *trace_callback* to be called for each SQL statement that is
  actually executed by the SQLite backend.
 
- The only argument passed to the callback is the statement (as string) that
- is being executed. The return value of the callback is ignored. Note that
- the backend does not only run statements passed to the :meth:`Cursor.execute`
- methods. Other sources include the transaction management of the Python
- module and the execution of triggers defined in the current database.
+ The only argument passed to the callback is the statement (as
+ :class:`str`) that is being executed. The return value of the callback is
+ ignored. Note that the backend does not only run statements passed to the
+ :meth:`Cursor.execute` methods. Other sources include the
+ :ref:`transaction management <sqlite3-controlling-transactions>` of the
+ sqlite3 module and the execution of triggers defined in the current
+ database.
 
  Passing :const:`None` as *trace_callback* will disable the trace callback.
 
+ .. note::
+ Exceptions raised in the trace callback are not propagated. As a
+ development and debugging aid, use
+ :meth:`~sqlite3.enable_callback_tracebacks` to enable printing
+ tracebacks from exceptions raised in the trace callback.
+
  .. versionadded:: 3.3