DOC: Updated set_index doc with a warning #22116

Job	Run time
Linux-Musl	16m 48s
Linux-32-bit	18m 14s
python-dev (macOS-13)	16m 6s
python-dev (macOS-14)	9m 26s
python-dev (ubuntu-22.04)	20m 35s
python-dev (windows-latest)	22m 17s
Pyodide build	22m 41s
macos-13 actions-310.yaml	24m 9s
macos-13 actions-311.yaml	22m 7s
macos-13 actions-312.yaml	30m 18s
macos-14 actions-310.yaml	15m 55s
macos-14 actions-311.yaml	17m 15s
macos-14 actions-312.yaml	19m 22s
windows-latest actions-311.yaml	36m 48s
windows-latest actions-312.yaml	48m 38s
windows-latest actions-310.yaml	34m 5s
python-freethreading	23m 4s
Minimum Versions	23m 37s
Future infer strings (without pyarrow)	40m 52s
Locale: zh_CN	23m 37s
Downstream Compat	6m 1s
Locale: it_IT	24m 20s
Numpy Dev	16m 56s
Pyarrow Nightly	19m 53s
Future infer strings	49m 59s
Pypy	1m 19s
ubuntu-22.04 actions-310.yaml	51m 25s
ubuntu-22.04 actions-311.yaml	44m 11s
ubuntu-22.04 actions-312.yaml	48m 38s
ubuntu-24.04-arm actions-311.yaml	38m 30s
ubuntu-24.04-arm actions-312.yaml	48m 28s
ubuntu-24.04-arm actions-310.yaml	43m 48s
	14h 39m 22s

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