Backport PR #42942: ERR: clarify PerformanceWarning for fragmented frame (#42958)

Co-authored-by: Matthew Zeitlin <[email protected]>

Author: meeseeksmachine

pandas/core/internals/managers.py

@@ -1188,8 +1188,8 @@ def insert(self, loc: int, item: Hashable, value: ArrayLike) -> None:
             warnings.warn(
                 "DataFrame is highly fragmented.  This is usually the result "
                 "of calling `frame.insert` many times, which has poor performance.  "
-                "Consider using pd.concat instead.  To get a de-fragmented frame, "
-                "use `newframe = frame.copy()`",
+                "Consider joining all columns at once using pd.concat(axis=1) "
+                "instead.  To get a de-fragmented frame, use `newframe = frame.copy()`",
                 PerformanceWarning,
                 stacklevel=5,
             )