DOC: FutureWarnings when building io.rst
When we build the docs (i.e. `./doc/make html`), we get some warnings that we shouldn't have (we will soon make the docs fail if warnings are found).

One of this error is caused in `io.rst`, and seem to be happening in `pyarrow`.

We need to research why the warning is happening, and find a solution for it (we may need to contribute the fix to pyarrow and wait for a release).

These are the warnings:

```
>>>-------------------------------------------------------------------------
Warning in /home/mgarcia/src/pandas/doc/source/io.rst at block ending on line 4812
Specify :okwarning: as an option in the ipython:: block to suppress this message
----------------------------------------------------------------------------
/home/mgarcia/miniconda3/envs/pandas-dev/lib/python3.7/site-packages/pyarrow/pandas_compat.py:708: FutureWarning: .labels was deprecated in version 0.24.0. Use .codes instead.
  labels = getattr(columns, 'labels', None) or [
<<<-------------------------------------------------------------------------


>>>-------------------------------------------------------------------------
Warning in /home/mgarcia/src/pandas/doc/source/io.rst at block ending on line 4812
Specify :okwarning: as an option in the ipython:: block to suppress this message
----------------------------------------------------------------------------
/home/mgarcia/miniconda3/envs/pandas-dev/lib/python3.7/site-packages/pyarrow/pandas_compat.py:735: FutureWarning: the 'labels' keyword is deprecated, use 'codes' instead
  return pd.MultiIndex(levels=new_levels, labels=labels, names=columns.names)
<<<-------------------------------------------------------------------------


>>>-------------------------------------------------------------------------
Warning in /home/mgarcia/src/pandas/doc/source/io.rst at block ending on line 4812
Specify :okwarning: as an option in the ipython:: block to suppress this message
----------------------------------------------------------------------------
/home/mgarcia/miniconda3/envs/pandas-dev/lib/python3.7/site-packages/pyarrow/pandas_compat.py:752: FutureWarning: .labels was deprecated in version 0.24.0. Use .codes instead.
  labels, = index.labels
<<<-------------------------------------------------------------------------
```