Docs: Improve PostgreSQL db and user setup for clarity (#44067)

docs/apache-airflow/howto/set-up-database.rst

@@ -166,7 +166,10 @@ In the example below, a database ``airflow_db`` and user  with username ``airflo
    CREATE DATABASE airflow_db;
    CREATE USER airflow_user WITH PASSWORD 'airflow_pass';
    GRANT ALL PRIVILEGES ON DATABASE airflow_db TO airflow_user;
+
    -- PostgreSQL 15 requires additional privileges:
+   -- Note: Connect to the airflow_db database before running the following GRANT statement
+   -- You can do this in psql with: \c airflow_db
    GRANT ALL ON SCHEMA public TO airflow_user;
 
 .. note::