Chore: deprecate NIXTLA_ID_AS_COL or issue warning

[elephaint]

What happened + What you expected to happen

We need to make NIXTLA_ID_AS_COL the default behavior or start showing deprecation messages, as the default behavior of NF is now inconsistent with the API of our other libs (SF, MF, HF).

Versions / Dependencies

1.7.7

Reproduction script

n/a

Issue Severity

Low: It annoys or frustrates me.

[jmoralez]

This is what is done in #1220