DOC: Highlight information about avoiding labels in legend

[oscargus]

PR Summary

Related to the recent discussion about duplicate labels #23664 and SO-questions like:
https://stackoverflow.com/questions/13588920/stop-matplotlib-repeating-labels-in-legend (63k views)
https://stackoverflow.com/questions/19385639/duplicate-items-in-legend-in-matplotlib (47k views)

and especially the comment:

As the [docs](http://matplotlib.org/users/legend_guide.html) say, although it's easy to miss:

If label attribute is empty string or starts with “_”, those artists will be ignored.

Maybe this PR won't make all questions go away, but can still be worth highlighting this.

PR Checklist

Tests and Styling

• [N/A] Has pytest style unit tests (and pytest passes).
• Is Flake 8 compliant (install flake8-docstrings and run flake8 --docstring-convention=all).

Documentation

• [N/A] New features are documented, with examples if plot related.
• [N/A] New features have an entry in doc/users/next_whats_new/ (follow instructions in README.rst there).
• [N/A] API changes documented in doc/api/next_api_changes/ (follow instructions in README.rst there).
• Documentation is sphinx and numpydoc compliant (the docs should build without error).

[story645]

I very much like the doc improvements to make this clearer. 😁

[oscargus]

I've adapted the suggestions (as committing directly lead to too long lines). Thanks!