docs: fix typo in env variable $COMPLETE, and clarify text

Closes #5466.

docs/install-and-setup.md

@@ -220,10 +220,9 @@ transition once we default to these new completions.
 
 !!! info "Why are the improved completions not the default?"
 
-    To get the improved completions it is required to set the `COMPLETION` env
-    variable to your current shell before using the completion command, as
-    they're not the default yet. See the upstream clap issue [#3166][clap]
-    for the explanation.
+    To generate the dynamic completion script, execute `jj` with `$COMPLETE` set
+    to the name of your shell (see examples below). See the upstream clap issue
+    [#3166][clap] for the explanation.
 
 
 ### Bash