DOC: Improve Index docstrings
Index is now described as List instead of Set

- [x] closes #36170
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Lgtm > Lgtm

Sorry for stepping in, I think it's not accurate enough according to https://github.com/pandas-dev/pandas/issues/36170#issuecomment-688531089
 Some tests are failing... I don't recall changing anything else accept the documentation, Why is this even happening?
any idea how to fix this? > Some tests are failing... I don't recall changing anything else accept the documentation, Why is this even happening?
> any idea how to fix this?

The CI failures are unrelated to this change In my opinion a set implies that values are unique, which isn’t true for indexes. Maybe “sequence” is better? > In my opinion a set implies that values are unique, which isn’t true for indexes. Maybe “sequence” is better?

@topper-123 That makes sense. I also think perhaps the whole thing could be rewritten to something like "Immutable sequence used for indexing and alignment." (remove references to ndarrays, sets, or being ordered since none apply). What do you think? Looks more appropriate to me as well
Shall I improve it?
@dsaxton @topper-123  Rather than opening a separate PR can you make both changes here? Sure @dsaxton I did the required changes. This should do... Right? Thanks @Nikhil1O1 