BUG: DataFrame._slice doesnt retain metadata
Closes #9776.

@sinhrks this is gr8.

I suspect there are some more places where this fails (e.g. look in `core/indexing.py`)
 @jreback I looked through `generic.py` and `indexing.py`, and all the `_constructor` looks have required `__finalize__`, except for intermediate output purpose.
 thanks!
 interested in #8572 ?
