ENH Warn about panel.to_frame() discarding NaN GH7879
Also there was unimported module warnings with calls to it. In pandas/core/panel.py lines 718, 748 for example.

closes #7879 

@m-novikov couple of minor comments here, otherwise looks good
 Fixed according to your comments, also added suppressing warning statement to pandas/io/tests/test_pytables.py as it's shows up on test run.
 if u take those extra lines out ( the filtering in setup and the setattr) what happens? I am puzzled why they are in here in the first place

that is the point of assert_produces_warning it does the filtering necessary to assert the warning
 more to the point is the rationale behind this pr
you are warning on a valid option

that seems a little odd no ?
 i think this warning is ok, it's a bit of a surprise to throw away data by default.
 why not just change the default then?
 well that would be nice but would break existing code
 If I lose 
`warnings.filterwarnings(action='ignore', category=UserWarning)`
then during test run there will be this warning raised.
If I lose
`setattr` then I will be dependent on order in which tests are run, warning raised only once by default, and if it was raised in some other test module I will not catch it.
 I say just a change the default as an API change

or do nothing 
 i'd be ok with that, maybe a nice warning in the docs that says "you have to call dropna now"
 Removed warnings suppression
 @m-novikov if u change the result does anything break in the test suite (aside from the actual test for this)
 @jreback if I leave it with warnings nothing breaks, just occasional message in some test will be displayed and so without it but as was stated it's not expected behaviour.
`setattr(panelm, '__warningregistry__', {})` breaks nothing, but warnings of this module may be displayed twice during test suite run. Possibly I should store state of registry and restore it after test.
 no I mean if u change the default to False
instead if warning
 @jreback  There is [SparsePanel.to_frame()](https://github.com/pydata/pandas/blob/master/pandas/sparse/panel.py#L284) which doesn't support filter_observations=False, if change signature only for Panel class then it will be inconsistent.
Also it breaks a few methods like `Panel.count` for example.
 @m-novikov can you put in a short doc note. Also Let's change this to a `FutureWarning`. Then change the default in 0.17.0
 @jreback updated
 I would like to repurpose this and simply change the default here (no need to warn then). Can you update?
 Yes, so this means all related test to be fixed too, I will get to it
 @m-novikov gr8! lmk
 I think we can simply change this for 0.17.0.

going to close this, but pls reopen if you want address that.
