docs(python): add note about include_index in from_pandas regardi…

…ng "default indices" (pola-rs#14920)

py-polars/polars/convert.py

@@ -656,7 +656,7 @@ def from_pandas(
     include_index: bool = False,
 ) -> DataFrame | Series:
     """
-    Construct a Polars DataFrame or Series from a pandas DataFrame or Series.
+    Construct a Polars DataFrame or Series from a pandas DataFrame, Series, or Index.
 
     This operation clones data.
 
@@ -675,6 +675,12 @@ def from_pandas(
     include_index : bool, default False
         Load any non-default pandas indexes as columns.
 
+        .. note::
+            If the input is a pandas ``Series`` or ``DataFrame`` and has a nameless
+            index which just enumerates the rows, then it will not be included in the
+            result, regardless of this parameter. If you want to be sure to include it,
+            please call ``.reset_index()`` prior to calling this function.
+
     Returns
     -------
     DataFrame
@@ -697,7 +703,7 @@ def from_pandas(
     │ 4   ┆ 5   ┆ 6   │
     └─────┴─────┴─────┘
 
-    Constructing a Series from a :class:`pd.Series`:
+    Constructing a Series from a :class:`pandas.Series`:
 
     >>> import pandas as pd
     >>> pd_series = pd.Series([1, 2, 3], name="pd")