DOCS: Add comment about index_col and forward filling missing values

doc/source/user_guide/io.rst

@@ -3675,6 +3675,10 @@ should be passed to ``index_col`` and ``header``:
 
    os.remove("path_to_file.xlsx")
 
+Missing values in columns specified in ``index_col`` will be forward filled to
+allow roundtripping with ``to_excel`` for ``merged_cells=True``. To avoid forward
+filling the missing values use ``set_index`` after reading the data instead of
+``index_col``.
 
 Parsing specific columns
 ++++++++++++++++++++++++

pandas/io/excel/_base.py

@@ -119,6 +119,11 @@
     those columns will be combined into a ``MultiIndex``.  If a
     subset of data is selected with ``usecols``, index_col
     is based on the subset.
+
+    Missing values will be forward filled to allow roundtripping with
+    ``to_excel`` for ``merged_cells=True``. To avoid forward filling the
+    missing values use ``set_index`` after reading the data instead of
+    ``index_col``.
 usecols : str, list-like, or callable, default None
     * If None, then parse all columns.
     * If str, then indicates comma separated list of Excel column letters