e2e guide: add link about m.room_key events.
@@ -396,7 +396,8 @@ These events contain key data to allow decryption of other messages.
They are sent to specific devices, so they appear in the ``to_device``
section of the response to ``GET /_matrix/client/r0/sync``. They will
also be encrypted, so will need decrypting as above before they can be
-seen.
+seen. (These events are generated by other clients - see `starting a megolm
+session`_).
The event content will contain an 'algorithm' property, indicating the
encryption algorithm the key data is to be used for. Currently, this
