BUG: Less helpful SettingWithCopyWarning on new pandas version

[ntjess]

• I have checked that this issue has not already been reported.

• I have confirmed this bug exists on the latest version of pandas.

• (optional) I have confirmed this bug exists on the master branch of pandas.

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Note: Please read this guide detailing how to provide the necessary information for us to reproduce your bug.

Code Sample, a copy-pastable example

# Your code here
import numpy as np
import pandas as pd

df = pd.DataFrame(np.arange(25).reshape(5,5))

def valid_indexes(in_df: pd.DataFrame):
  return in_df.loc[:3]

valid = valid_indexes(df)
valid[2] = 3

Problem description

Before (pandas 1.2.*), the resulting warning showed my own code:

See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy
valid[2] = 3

Now, it only shows library code:

See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy
  self._set_item(key, value)

This is significantly harder to diagnose.

Expected Output

The line of code I wrote to produce the error

Output of pd.show_versions()

INSTALLED VERSIONS

commit : f00ed8f
python : 3.9.4.final.0
python-bits : 64
OS : Windows
OS-release : 10
Version : 10.0.19041
machine : AMD64
processor : Intel64 Family 6 Model 60 Stepping 3, GenuineIntel
byteorder : little
LC_ALL : None
LANG : None
LOCALE : English_United States.1252
pandas : 1.3.0
numpy : 1.20.3
pytz : 2021.1
dateutil : 2.8.1
pip : 21.1.3
setuptools : 52.0.0.post20210125
Cython : None
pytest : 6.2.4
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : 1.4.3
lxml.etree : 4.6.3
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : 3.0.1
IPython : 7.23.1
pandas_datareader: None
bs4 : 4.9.3
bottleneck : None
fsspec : None
fastparquet : None
gcsfs : None
matplotlib : 3.4.2
numexpr : None
odfpy : None
openpyxl : 3.0.7
pandas_gbq : None
pyarrow : None
pyxlsb : None
s3fs : None
scipy : 1.6.3
sqlalchemy : 1.4.15
tables : None
tabulate : None
xarray : None
xlrd : 2.0.1
xlwt : None
numba : None

[phofl]

Stacklevel changed.

[simonjayhawkins]

Before (pandas 1.2.*), the resulting warning showed my own code:

first bad commit: [35cc565] REF: simplify _sanitize_column (#38459) cc @jbrockmendel