From the view of fourier series and the completion of space of Riemann integrable functions, how to understand the limitations of Riemann integration

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Recently I am studying real analysis, when I read about the introduction part of stein's 《real analysis》, I get really confused about the first example he gave in page xvi. From where we can see Riemann integration has some limitations and need to be refined? Is the problem lies just at the incompleteness of Riemann integrable functions space? If so ,why did he introduced fourier series and parseval's identity rather than give us an exact example to show the incompleteness of the space. I think I do not understand this problem clearly, please give me a more detailed explanation, thanks very much.