REF/API: DataFrame.__setitem__ never operate in-place
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry

xref https://github.com/pandas-dev/pandas/issues/38896#issuecomment-761620727