DOC: add example of pyarrow usage favored over the deprecated to_msgpack
- [ ] closes #xxxx
    - no issue opened
- [ ] tests added / passed
    - no, only docs modified
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Awesome, but I don't understand what you meant by "small comment". I don't see any reviews in the PR lgtm ping on green. ping (is green)