[BUG] fixed DateOffset pickle bug when months >= 12
- [x] closes #34511
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

This issue is caused by the `__setstate__` method defined in class `RelativeDeltaOffset`. The method tries to update the attributes of the loaded object using attributes of its underlying `relativedelta` object (i.e. its `._offset` attribute). This in my opinion, correct me if I'm wrong, seems to be unnecessary and may be a legacy resulted from version changes.

However, this change does cause 1 existing test (`test_pickle_v0_15_2`) to fail. Again it appears to be a legacy issue and I have updated and renamed the test. 

Reason why the test failed:
The test compares reconstructed objects with objects loaded from a stored pickle file `pandas/tests/tseries/offsets/data/dateoffset_0_15_2.pickle`. This file was produced with an older version code. When calling `__setstate__`, the `state` argument is given as follows:
```python
{'normalize': False, '_offset': relativedelta(years=+1), '_use_relativedelta': True, 'kwds': {'years': 1}, 'n': 1}
```
which is different from that of current version
```python
{'_offset': relativedelta(years=+1), '_use_relativedelta': True, 'years': 1, 'n': 1, 'normalize': False}
```
Note the difference in how `years` is represented in `state`.

Before this PR, the test was still ok because `__setstate__`` updates the `years` attribute (with `setattr`) using values from the underlying `._offset` object. With this PR it no longer does so, therefore the test failed. @fujiaxiang can you move release note to 1.2 @simonjayhawkins have moved whatsnew to 1.2. Thanks! @jreback I have used `pandas/tests/io/generate_legacy_storage_files.py` to generate `pandas/tests/io/data/legacy_pickle/1.1.0/1.1.0_x86_64_darwin_3.8.5.pickle', as suggested in earlier comment.

There is an issue with the pickle protocol compatibility. I am using python 3.8.5 in my local environment. When generating the pickle file, the script automatically select the highest protocol which is 5 in python 3.8. However, this protocol is not supported in python 3.7 and below, thus causing some of the tests to fail in CI. In my local env these tests are passed.

What's your suggestion here? Should I use an environment of python 3.7 to generate the file? Another option is update the `generate_legacy_storage_files.py` script so that it uses `pickle.DEFAULT_PROTOCOL (4 in python 3.8)` for better compatibility for all future cases. What do you think? @fujiaxiang you have to run with *older* versions of pandas (e.g. 0.25.3 or 1.0) and then commit the results to master; not avverse to running with 1.1 as well 

ok on using defaulting the pickle argument as well (but that's separate) @jreback Thanks, I have updated the script to use default protocol. Also I __am__ running with the released 1.1 pandas to generate the file.

btw I updated the comment on how to run that script because there is now a folder `pandas/tests/io/json` in the project, and the old way of running the script will import this folder when executing `import json` and causes error. @jbrockmendel if any comments. LGTM thanks @fujiaxiang very nice!