[docs] Set callbacks before listening or connecting.

docs/API/API-functions.md

@@ -751,6 +751,9 @@ automatically created to handle the incoming connection on the listening socket
 (and is about to be returned by [`srt_accept`](#srt_accept)), but before the
 connection has been accepted.
 
+Note the callback must be set before starting listening,
+i.e. before `srt_listen` is called.
+
 **Arguments**:
 
 * `lsn`: Listening socket where you want to install the callback hook
@@ -1020,6 +1023,9 @@ mode ([`SRTO_RCVSYN`](API-socket-options.md#SRTO_RCVSYN) option set to true).
 It is guaranteed to be called when a socket is in non-blocking mode, or when you
 use a group.
 
+Note the callback must be set before starting the connection procedure,
+i.e. before `srt_connect`, `srt_connect_bind`, etc. is called.
+
 This function is mainly intended to be used with group connections. Note that even
 if you use a group connection in blocking mode, after the group is considered
 connected the member connections still continue in background. Also, when some