DOC: improve docs on iteration
As this comes up once in a while, I tried to improve/clarify the docs somewhat.

Further suggestions to add or make it clearer are welcome!

xref #10334 

closes #7194

@shoyer thanks, I forgot to note that, added now!
 @jreback @shoyer I added some further warnings / alternatives (also about setting in a loop, so this should now also address #7194). You can have a new look.
 looks great! (minor comment on the reference to enhancingperf)
