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All of the code changes here are fine and sensible, though it seems something has been missed, since the method doesn't seem to hit the deprecation error for the direct case, e.g:

>>> import cf
>>> d = cf.Data(100, "m")
>>> d.get_filenames()
set()

which I assume is because there's still a case under the mixin.propertiesdatabounds module:

$ pwd
/home/sadie/cf-python/cf
$ git grep "def get_filenames"
data/mixin/deprecations.py:    def get_filenames(self):
mixin/propertiesdatabounds.py:    def get_filenames(self):

So that probably needs to go or be deprecated also. Once that's done, this will be good to merge I think!