Hdf warning
In accordance with #12268 this is now a separate PR.

I think that this warning could be useful either way for no non-daily hdf user:
- Telling that string method is preferred
- Adding a warning

@dacoex idea being that you separate the changes into 2 PRs, one containing the `pd.` changes, the other the doc-changes w.r.t. hierarchical keys. (there are 2 PR's now, but they both contain all the changes)
 Sorry, my git skills do not make it.
I will update them during the next days.
 hahha, no prob. you will want to rebase on master, then delete that commit.

e.g.

`git rebase -i master`

then force push
 pls rebase on master
 I hope I got it right now ;-)
 anything holding this one back?
 thanks!
