docs: add clarification about building middleware and error types (#2448)

axum/src/docs/middleware.md

@@ -264,6 +264,21 @@ where
 }
 ```
 
+Note that your error type being defined as `S::Error` means that your middleware typically _returns no errors_. As a principle always try to return a response and try not to bail out with a custom error type. For example, if a 3rd party library you are using inside your new middleware returns its own specialized error type, try to convert it to some reasonable response and return `Ok` with that response.
+
+If you choose to implement a custom error type such as `type Error = BoxError` (a boxed opaque error), or any other error type that is not `Infallible`, you must use a `HandleErrorLayer`, here is an example using a `ServiceBuilder`:
+
+```ignore
+ServiceBuilder::new()
+        .layer(HandleErrorLayer::new(|_: BoxError| async {
+            // because Axum uses infallible errors, you must handle your custom error type from your middleware here
+            StatusCode::BAD_REQUEST
+        }))
+        .layer(
+             // <your actual layer which DOES return an error>
+        );
+```
+
 ## `tower::Service` and custom futures
 
 If you're comfortable implementing your own futures (or want to learn it) and