[WIP] set_axis now has inplace=False
 - [ ] closes #14636
 - [ ] tests added / passed
 - [ ] passes ``git diff upstream/master | flake8 --diff``
 - [ ] whatsnew entry


https://github.com/pandas-dev/pandas/issues/14636
 ## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/14656?src=pr) is 85.28% (diff: 50.00%)

> Merging [#14656](https://codecov.io/gh/pandas-dev/pandas/pull/14656?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will decrease coverage by **<.01%**

``` diff
@@             master     #14656   diff @@
==========================================
  Files           140        140          
  Lines         50693      50697     +4   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
+ Hits          43234      43235     +1   
- Misses         7459       7462     +3   
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [1d6dbb4...c10a2f4](https://codecov.io/gh/pandas-dev/pandas/compare/1d6dbb41b26a39121ec8c4f19f5da78bb0ab4af7...c10a2f40683fa024dd7012bfff40484109dd6de8?src=pr)
 needs tests and lint fixing (which will now show up after you rebase)
 @denfromufa can you add tests? closing as stale