Fixed `Period` and `PeriodIndex` formatting
- [x] closes #46252
- [x] Improved docstring for `PeriodIndex.strftime` and `Period.strftime`
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [x] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

Note: this is the first PR extracted from #46116. More to come soon :)
The error in CI seems related to usage of `assert_produces_warning`. What is strange is that it worked in #46116 .. were there any change on main related to this that could explain the issue ? Ready for review @jreback @mroeschke . Thanks @jbrockmendel and @mroeschke for the review !
I left one comment pending (parametrization) and all others were taken into account All set (thanks @mroeschke for resolving the last comment).
The last failing mypy check seems unrelated (pandas/io/clipboard/__init__.py:97: error: Module has no attribute "WinError"  [attr-defined]) Could you merge main in one more time just to be sure? thanks @smarie very nice! Thank you all for the quick review !