DOC: fix double Returns section in set_index docstring
Should fix the broken doc build
Hello @jorisvandenbossche! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/core/frame.py`](https://github.com/jorisvandenbossche/pandas/blob/419ac5ccdf3900352d5ae06f1b51216789fcdc31/pandas/core/frame.py) !

 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23948?src=pr&el=h1) Report
> Merging [#23948](https://codecov.io/gh/pandas-dev/pandas/pull/23948?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/39229473bc025b1c4fedc79962a5089949c5a296?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/23948/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/23948?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #23948   +/-   ##
=======================================
  Coverage   92.31%   92.31%           
=======================================
  Files         161      161           
  Lines       51483    51483           
=======================================
  Hits        47525    47525           
  Misses       3958     3958
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.7% <ø> (ø)` | :arrow_up: |
| #single | `42.43% <ø> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/23948?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/23948/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.02% <ø> (ø)` | :arrow_up: |

------

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> **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/23948?src=pr&el=footer). Last update [3922947...419ac5c](https://codecov.io/gh/pandas-dev/pandas/pull/23948?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
