Added test_set_index_dtypes_on_empty_DataFrames to check dtypes after…
… using set_index on a DataFrame with empty Series that have dtype

- [x] closes #38419
- [x] tests added / passed test_set_index_dtypes_on_empty_DataFrames
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry. Added a test to check that dtypes don't change after using set_index on a DataFrame with empty Series

Hello @IngErnestoAlvarez! 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 2020-12-12 21:35:33 UTC @IngErnestoAlvarez sorry to do this but closing as we already have a PR for this issue which was submitted first.

Thanks so much for opening the PR in the first place. We would of course love to have you contribute to resolve other tickets! [Issues filed under the Contributions Welcome](https://github.com/pandas-dev/pandas/issues?q=is%3Aissue+is%3Aopen+milestone%3A%22Contributions+Welcome%22+) are a good place to look, and let us know if you need help at any point!