bpo-23188: Document that PyErr_SetString, etc. chains exceptions

Author: cjerdonek

Doc/c-api/exceptions.rst

@@ -92,7 +92,10 @@ Raising exceptions
 
 These functions help you set the current thread's error indicator.
 For convenience, some of these functions will always return a
-``NULL`` pointer for use in a ``return`` statement.
+``NULL`` pointer for use in a ``return`` statement. Also, for all of the
+functions in this subsection, if an exception has already been caught,
+that exception will be implicitly chained (i.e. the last caught exception
+will become the new exception's :attr:`__context__`).
 
 
 .. c:function:: void PyErr_SetString(PyObject *type, const char *message)

Misc/NEWS.d/next/Documentation/2020-05-22-20-55-23.bpo-23188.Al3gI2.rst

@@ -0,0 +1,2 @@
+Mention that :c:func:`PyErr_SetString`, :c:func:`PyErr_SetObject`, and
+friends implicitly chain exceptions.