DOC: Document set_figure() is a low-level API

Closes matplotlib#31135.

Author: timhoffm

lib/matplotlib/artist.py

@@ -767,6 +767,15 @@ def set_figure(self, fig):
         """
         Set the `.Figure` or `.SubFigure` instance the artist belongs to.
 
+        .. warning::
+
+            This function should typically not be called by users.
+
+            This is a low-level API and only modifies the internal state of the
+            Artist. Only modifying this is not enough and will typically lead
+            to an inconsistent state, because the state of the figure has to
+            be changed as well.
+
         Parameters
         ----------
         fig : `~matplotlib.figure.Figure` or `~matplotlib.figure.SubFigure`