BUG: DatetimeIndex.to_frame does not drop timezone information
- [x] closes #25809
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=h1) Report
> Merging [#25811](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/fbe25233345b750031911f0d4b0845fa115c4432?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25811/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25811      +/-   ##
==========================================
+ Coverage   91.27%   91.27%   +<.01%     
==========================================
  Files         173      173              
  Lines       53002    53002              
==========================================
+ Hits        48375    48376       +1     
+ Misses       4627     4626       -1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.83% <100%> (ø)` | :arrow_up: |
| #single | `41.76% <0%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/25811/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `96.57% <100%> (ø)` | :arrow_up: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25811/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `89.4% <0%> (+0.1%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=footer). Last update [fbe2523...110e9d9](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=h1) Report
> Merging [#25811](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/fbe25233345b750031911f0d4b0845fa115c4432?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25811/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25811      +/-   ##
==========================================
+ Coverage   91.27%   91.27%   +<.01%     
==========================================
  Files         173      173              
  Lines       53002    53002              
==========================================
+ Hits        48375    48376       +1     
+ Misses       4627     4626       -1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.83% <100%> (ø)` | :arrow_up: |
| #single | `41.76% <0%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/25811/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `96.57% <100%> (ø)` | :arrow_up: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25811/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `89.4% <0%> (+0.1%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=footer). Last update [fbe2523...110e9d9](https://codecov.io/gh/pandas-dev/pandas/pull/25811?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks @mroeschke nice as usual!