Add note explaining what to do in set_action (#2585)

Add note explaining what to do in set_action to update the state of the component.

components/select/template.rst

@@ -45,6 +45,10 @@ Configuration variables:
 - **id** (*Optional*, :ref:`config-id`): Manually specify the ID used for code generation.
 - All other options from :ref:`Select <config-select>`.
 
+.. note::
+
+    If you don't set a ``lambda`` and ``optimistic`` is ``false`` (default), updates to the select component state will need to be taken care of as part of your ``set_action`` using ``id(my_select).publish_state(x);`` (in a lambda). Do not use :ref:`select-set_action` here, as this would generate a loop. Also, don't use ``id(my_select).state = x`` as this won't have the desired effect (e.g. HA won't update with the change).
+
 ``select.set`` Action
 ---------------------