DOC: improve docs to clarify MultiIndex indexing
As per our discussion in #16943. Let me know what you think. I'm not quite happy with the new warning box, ideas how to improve the message are welcome.
@toobaz done # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19507?src=pr&el=h1) Report
> Merging [#19507](https://codecov.io/gh/pandas-dev/pandas/pull/19507?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/d9551c8ee2a09ccc4c39d2b661f199334162edb6?src=pr&el=desc) will **increase** coverage by `0.02%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/19507/graphs/tree.svg?src=pr&width=650&token=eZ4WkYLtcO&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/19507?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #19507      +/-   ##
==========================================
+ Coverage   91.57%    91.6%   +0.02%     
==========================================
  Files         150      150              
  Lines       48817    48817              
==========================================
+ Hits        44704    44718      +14     
+ Misses       4113     4099      -14
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.97% <ø> (+0.02%)` | :arrow_up: |
| #single | `41.72% <ø> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/19507?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/19507/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `83.85% <0%> (+0.2%)` | :arrow_up: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/19507/diff?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `66.95% <0%> (+1.73%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19507?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19507?src=pr&el=footer). Last update [d9551c8...7cef2d3](https://codecov.io/gh/pandas-dev/pandas/pull/19507?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @cbrnr Can you update based on the comments? I've updated the docs based on all comments. Please check if it is OK now. CircleCI error is unrelated - could someone restart it please? @cbrnr Thanks a lot! 
(circle ci error was indeed unrelated, connectivity issue)