Better documentation for `as_completed` class

I would like to request for some improvement on the documentation for the class `as_completed` as found in [here](https://distributed.dask.org/en/latest/api.html#distributed.as_completed).

I'm having a use case where I had two different instances of `Client` object: `client_1` and `client_2`. While using `as_completed` to gather futures from `client_1`, the loop is defaulted to the last `Client` object declared, which happens to be `client_2`. This resulted in the futures not returned properly and the tasks is stuck in the worker memory after completion. The error ranges from no message at all, to pickling error for some reason, like this:
```
distributed.protocol.pickle - INFO - Failed to deserialize bytearray(b'\....`)
Traceback (most recent call last):
File "/usr/local/lib/python3.7/site-packages/distributed/protocol/pickle.py", line 66, in loads
return pickle.loads(x)
_pickle.UnpicklingError: invalid load key, '\x00'.
distributed.protocol.core - CRITICAL - Failed to deserialize
Traceback (most recent call last):
File "/usr/local/lib/python3.7/site-packages/distributed/protocol/core.py", line 130, in loads
value = _deserialize(head, fs, deserializers=deserializers)
File "/usr/local/lib/python3.7/site-packages/distributed/protocol/serialize.py", line 302, in deserialize
return loads(header, frames)
File "/usr/local/lib/python3.7/site-packages/distributed/protocol/serialize.py", line 64, in pickle_loads
return pickle.loads(x, buffers=buffers)
File "/usr/local/lib/python3.7/site-packages/distributed/protocol/pickle.py", line 66, in loads
return pickle.loads(x)
_pickle.UnpicklingError: invalid load key, '\x00'.
```

It took me a long time, after reviewing the code [here](https://distributed.dask.org/en/latest/_modules/distributed/client.html#as_completed) that I realized that we need to set the loop attribute to the loop of the corresponding `Client` object.

I think it can be make more clearer to user by explicitly stating it in the documentation for `as_completed`.