SNOW-1646711 Raise warning whenever MultiIndex is pulled in locally (#…

…2258)

1. Which Jira issue is this PR addressing? Make sure that there is an
accompanying issue to your PR.

   Fixes SNOW-1646711

2. Fill out the following pre-review checklist:

- [ ] I am adding a new automated test(s) to verify correctness of my
new code
- [ ] If this test skips Local Testing mode, I'm requesting review from
@snowflakedb/local-testing
   - [x] I am adding new logging messages
   - [ ] I am adding a new telemetry message
   - [ ] I am adding new credentials
   - [ ] I am adding a new dependency
- [ ] If this is a new feature/behavior, I'm adding the Local Testing
parity changes.

3. Please describe how your code solves the related issue.

Raise a warning whenever a method pulls in a MultiIndex locally - this
happens only once.

---------

Co-authored-by: Doris Lee <[email protected]>

CHANGELOG.md

@@ -112,6 +112,7 @@
 - Create a lazy index from another lazy index without pulling data to client.
 - Raised `NotImplementedError` for Index bitwise operators.
 - Display a clearer error message when `Index.names` is set to a non-like-like object.
+- Raise a warning whenever MultiIndex values are pulled in locally.
 
 #### Bug Fixes
 

src/snowflake/snowpark/modin/plugin/compiler/snowflake_query_compiler.py

@@ -1708,6 +1708,9 @@ def index(self) -> Union["pd.Index", native_pd.MultiIndex]:
         """
         if self.is_multiindex():
             # Lazy multiindex is not supported
+            logging.warning(
+                "Lazy MultiIndex is not supported. MultiIndex values are evaluated eagerly and pulled out of Snowflake."
+            )
             return self._modin_frame.index_columns_pandas_index()
         else:
             return pd.Index(query_compiler=self)