DEPR: Deprecate Index.set_value
- [ ] closes #xxxx
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Deprecates ``Index.set_value``. This is a very little used and confusing method IMO.

For a given index ``idx``, array ``arr``,  value ``idx_val`` in ``idx`` and a new value of ``val``, ``idx.set_value(arr, idx_val, val)``  is equivalent to ``arr[idx.get_loc(idx_val) = val``, which is more standard and should be used instead.

There has been some discussion before about `Index.get_value`: https://github.com/pandas-dev/pandas/issues/19728, where the thought was that this might be relied upon.  
But in contrast to get_value, set_value is apparently something we don't use internally ourselves?

cc @shoyer Yeah that's right, ``Index.set_value`` is not used by pandas itself. I've updated the PR according to comments.

In addition, I've added ``"set_value"`` to ``Index._deprecations``. Thanks!