DOC: clean Index.set_name / .rename doc-strings

[jreback]

xref #20548

MultiIndex.rename directly uses the .set_names doc-string (which is ok), but should be a touch more linked (e.g. See Also, maybe some more examples). Alt could de-couple these and make them more informative.

[jreback]

cc @arminv

[nmusolino]

Perhaps you meant to cross-reference issue #17334 ?

[VincentLa]

I can try working on this!