explicitly link to and describe the operations that aren't available

src/re_set.rs

@@ -59,14 +59,13 @@ $(#[$doc_regexset_example])*
 /// 1. Does any regex in the set match?
 /// 2. If so, which regexes in the set match?
 ///
-/// As with the main `Regex` type, it is cheaper to ask (1) instead of (2)
+/// As with the main [`Regex`][crate::Regex] type, it is cheaper to ask (1) instead of (2)
 /// since the matching engines can stop after the first match is found.
 ///
-/// Other features like finding match locations or capture groups
-/// aren't supported. If you need this functionality, the
-/// recommended approach is to compile each pattern in the set independently and
-/// scan the exact same input a second time with those independently compiled
-/// patterns:
+/// You cannot directly extract [`Match`][crate::Match] or [`Captures`][crate::Captures] objects
+/// from a regex set. If you need these operations, the recommended approach is to compile each
+/// pattern in the set independently and scan the exact same input a second time with those
+/// independently compiled patterns:
 /// ```rust
 /// # use regex::{Regex, RegexSet};
 /// let patterns = ["foo", "bar"];