BUG: Don't parse NA-values in index when requested
The `na_filter` parameter wasn't being respected when being applied on values in the index.

Closes #5239.
> sure.....though to be honest, easiest just to drop na_filter...but if you come up with a better API, gr8

@jreback : I agree with this suggestion.  I could also deprecate the parameter in this PR as well? # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=h1) Report
> Merging [#18127](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/6f0ff1a6f5fdc2cc135ffffc6e54b471977d2659?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/18127/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #18127      +/-   ##
==========================================
- Coverage   91.28%   91.26%   -0.02%     
==========================================
  Files         163      163              
  Lines       50127    50130       +3     
==========================================
- Hits        45757    45752       -5     
- Misses       4370     4378       +8
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.07% <100%> (ø)` | :arrow_up: |
| #single | `40.32% <66.66%> (-0.06%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/parsers.py](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnNlcnMucHk=) | `95.59% <100%> (+0.07%)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.75% <0%> (-0.1%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=continue).
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> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=footer). Last update [6f0ff1a...fdb6ef3](https://codecov.io/gh/pandas-dev/pandas/pull/18127?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 minor comment. merge when pushed and on green. All is green, so merging.