REF: Simplify Index.copy
Avoid the use of the ``Index.set_names`` in ``Index.copy``, which is a slightly awkward method to use here (it calls ``_shallow_copy`` + is longwinded).

This is archieved by tightening up the checks in ``_validate_names``.
I`ve added tests. lgtm ping on green. Hello @topper-123! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:

















There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-08-08 15:43:16 UTC Updated. thanks @topper-123 