Clarify that MultiIndex.set_levels() interprets passed values as new components of the .levels attribute
#### Code Sample, a copy-pastable example if possible

```python
import numpy as np
import pandas as pd
df = pd.DataFrame(np.random.rand(3, 3), columns=pd.MultiIndex.from_tuples([(1, 2), (1, 4), (5, 6)]))
df.columns = df.columns.set_levels([1, 1, 3], level=0)
```
Which raises a ```ValueError```:

```python
ValueError: Level values must be unique: [1, 1, 3] on level 0
```

#### Problem description

Despite a dataframe with non-unique MultiIndex can be created, they cannot be set using ```set_levels()```. Is this behaviour expected? I believe non-unique level values were not allowed for a period of time (#18882), but then they were allowed again (#21423), so I am not sure which is the current convention.

#### Expected Output

```python
          1                   3
          2         4         6
0  0.317669  0.329142  0.056725
1  0.969472  0.340309  0.135204
2  0.242408  0.934748  0.683186
```

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.4.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 158 Stepping 10, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 0.25.1
numpy            : 1.16.4
pytz             : 2019.2
dateutil         : 2.8.0
pip              : 19.2.2
setuptools       : 41.0.1
Cython           : 0.29.13
pytest           : 5.1.2
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : 1.1.8
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.10.1
IPython          : 7.8.0
pandas_datareader: None
bs4              : None
bottleneck       : 1.2.1
fastparquet      : None
gcsfs            : None
lxml.etree       : None
matplotlib       : 3.1.1
numexpr          : None
odfpy            : None
openpyxl         : 2.6.2
pandas_gbq       : None
pyarrow          : None
pytables         : None
s3fs             : None
scipy            : 1.3.1
sqlalchemy       : 1.3.7
tables           : None
xarray           : None
xlrd             : 1.2.0
xlwt             : None
xlsxwriter       : 1.1.8

</details>
