It may be slightly better to only emit the longer message if there were
actually handles that got ignored because of the leading underscore, but
that's actually a bit annoying to check (or requires some refactoring of
_get_legend_handles_labels).

See #5200 (comment).

PR Summary

PR Checklist

• Has pytest style unit tests (and pytest passes).
• Is Flake 8 compliant (run flake8 on changed files to check).
• New features are documented, with examples if plot related.
• Documentation is sphinx and numpydoc compliant (the docs should build without error).
• Conforms to Matplotlib style conventions (install flake8-docstrings and run flake8 --docstring-convention=all).
• New features have an entry in doc/users/next_whats_new/ (follow instructions in README.rst there).
• API changes documented in doc/api/next_api_changes/ (follow instructions in README.rst there).