DOC: Updated docstring for set_option
- [X] closes #57148
- [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
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).

Also related: https://github.com/pandas-dev/pandas/issues/57111 pre-commit.ci autofix Thanks @jrmylow 