BUG: avoid DeprecationWarning when the Series has index as list of Series
- [ ] Closes #55228
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests)
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit)
- [x] Added an entry in the latest `doc/source/whatsnew/v2.1.4.rst` file

@jbrockmendel I have adapted your suggestion of runtime importing `ABCSeries` and `ABCIndex`. However, is this also allowing `MultiIndex` which I think is not valid? > However, is this also allowing MultiIndex which I think is not valid?

Then exclude ABCMultiIndex i guess @jbrockmendel Sorry that I forgot about this PR. I have excluded `ABCMultiIndex` now. Looks pretty good. Could you resolve the merge conflict? Done @mroeschke  Done @mroeschke, sorry for the delay. Thanks @Charlie-XIAO  Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
git checkout 2.1.x
git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
git cherry-pick -x -m1 171cbcd3a6e79a5b845f39d2304d664bec10b9db
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
git commit -am 'Backport PR #55395: BUG: avoid DeprecationWarning when the Series has index as list of Series'
```

4. Push to a named branch:

```
git push YOURFORK 2.1.x:auto-backport-of-pr-55395-on-2.1.x
```

5. Create a PR against branch 2.1.x, I would have named this PR:

> "Backport PR #55395 on branch 2.1.x (BUG: avoid DeprecationWarning when the Series has index as list of Series)"

And apply the correct labels and milestones.

Congratulations — you did some good work! Hopefully your backport PR will be tested by the continuous integration and merged soon!

Remember to remove the `Still Needs Manual Backport` label once the PR gets merged.

If these instructions are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                