Add documentation for set montage order

mne/_fiff/meas_info.py

@@ -410,6 +410,13 @@ def set_montage(
             a montage. Other channel types (e.g., MEG channels) should have
             their positions defined properly using their data reading
             functions.
+        .. warning::
+            Applying a montage will only set locations of channels that exist
+            at the time it is applied. This means when
+            :doc:`re-referencing
+            </auto_tutorials/preprocessing/55_setting_eeg_reference>`
+            make sure to apply the montage after calling
+            :func:`mne.add_reference_channels`
         """
         # How to set up a montage to old named fif file (walk through example)
         # https://gist.github.com/massich/f6a9f4799f1fbeb8f5e8f8bc7b07d3df