DOC: warn about when to not use the interchange protocol (#59322)

docs: warn about when to not use the interchange protocol

Author: MarcoGorelli

pandas/core/frame.py

@@ -901,6 +901,14 @@ def __dataframe__(
         """
         Return the dataframe interchange object implementing the interchange protocol.
 
+        .. warning::
+
+            Due to severe implementation issues, we recommend only considering using the
+            interchange protocol in the following cases:
+
+            - converting to pandas: for pandas >= 2.0.3
+            - converting from pandas: for pandas >= 3.0.0
+
         Parameters
         ----------
         nan_as_null : bool, default False

pandas/core/interchange/from_dataframe.py

@@ -36,6 +36,14 @@ def from_dataframe(df, allow_copy: bool = True) -> pd.DataFrame:
     """
     Build a ``pd.DataFrame`` from any DataFrame supporting the interchange protocol.
 
+    .. warning::
+
+        Due to severe implementation issues, we recommend only considering using the
+        interchange protocol in the following cases:
+
+        - converting to pandas: for pandas >= 2.0.3
+        - converting from pandas: for pandas >= 3.0.0
+
     Parameters
     ----------
     df : DataFrameXchg