ENH: Minor change to parallel_coordinates (#15908)
Add option to sort class lables, add to test

 - [x] closes #15908
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master --name-only -- '*.py' | flake8 --diff``
 - [x] whatsnew entry

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=h1) Report
> Merging [#15935](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/6c0cfff8aa643d31462de07e8a693d035fc0e77b?src=pr&el=desc) will **increase** coverage by `0.07%`.
> The diff coverage is `25%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/15935/graphs/tree.svg?src=pr&token=eZ4WkYLtcO&width=650&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #15935      +/-   ##
==========================================
+ Coverage      91%   91.08%   +0.07%     
==========================================
  Files         145      145              
  Lines       49581    49642      +61     
==========================================
+ Hits        45123    45217      +94     
+ Misses       4458     4425      -33
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.85% <25%> (+0.08%)` | :arrow_up: |
| #single | `40.53% <0%> (-0.05%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/tools/plotting.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL3Rvb2xzL3Bsb3R0aW5nLnB5) | `74.61% <25%> (+2.86%)` | :arrow_up: |
| [pandas/core/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvYmFzZS5weQ==) | `92.32% <0%> (-3.19%)` | :arrow_down: |
| [pandas/types/cast.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL3R5cGVzL2Nhc3QucHk=) | `85.11% <0%> (-0.63%)` | :arrow_down: |
| [pandas/tseries/index.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvaW5kZXgucHk=) | `95.33% <0%> (-0.1%)` | :arrow_down: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `81.13% <0%> (ø)` | :arrow_up: |
| [pandas/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL2luZGV4ZXMvYmFzZS5weQ==) | `96.09% <0%> (ø)` | :arrow_up: |
| [pandas/core/groupby.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS5weQ==) | `95.54% <0%> (ø)` | :arrow_up: |
| [pandas/core/window.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvd2luZG93LnB5) | `96.24% <0%> (+0.02%)` | :arrow_up: |
| [pandas/formats/format.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL2Zvcm1hdHMvZm9ybWF0LnB5) | `95.4% <0%> (+0.05%)` | :arrow_up: |
| [pandas/core/common.py](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY29tbW9uLnB5) | `91.03% <0%> (+0.34%)` | :arrow_up: |
| ... and [1 more](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15935?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/15935?src=pr&el=footer). Last update [6c0cfff...1467f9f](https://codecov.io/gh/pandas-dev/pandas/pull/15935?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments). pls add a whatsnew entry, in Other Enhancements. @stangirala could you rebase and push one more time? Looks like our CI services were having trouble last time you pushed. @TomAugspurger @jreback Looks like the CI builds are passing. @TomAugspurger I'm actually not sure why the code coverage tool is reporting a decrease in coverage. Yeah, I took a glance and couldn't figure it out either. I'm guessing it's just a fluke, but I'll take a closer look later and merge. Thanks! if your master is not up to date code coverage doesn't make much sense lgtm. minor comment. thanks @stangirala 