DOC: update DF.set_index
Split off from #24697 by request of @jorisvandenbossche & @jreback 

I kept the change for the whatsnew of #22486, to at least not *emphasize* that there are now ambiguous list-likes available for `DataFrame.set_index` (which haven't seen a release yet and would be removed again by #24697), which would/will make moving forward on this a bit easier. @toobaz 
