DEPR: deprecate verify_integrity parameter in DataFrame.set_index (GH#62919)

[Lakshya-Upadhyaya]

-Add Pandas4Warning when verify_integrity=True in DataFrame.set_index
-Add test to ensure deprecation warning is raised
-Update whatsnew for v3.0.0 with deprecation note

• closes DEPR: verify_integrity in DataFrame.set_index #62919
• Tests added and passed if fixing a bug or adding a new feature.
• All code checks passed.
• Added type annotations to new arguments/methods/functions.
• Added an entry in the latest doc/source/whatsnew/vX.X.X.rst file if fixing a bug or adding a new feature.

[Lakshya-Upadhyaya]

I just noticed this PR overlaps with another one opened a bit earlier for the same issue (GH#62919).
Looks like we both worked on the verify_integrity deprecation in DataFrame.set_index around the same time — great to see it moving forward!
If the other PR is merged first, I’m happy to close this or follow up with any smaller improvements (e.g., doc phrasing or tests) as needed.

[mroeschke]

Thanks for the PR, but yes it appears #63033 was opened and merged first so closing since this issue has been addressed