Revert set_index inplace and copy keyword changes
See the discussion in https://github.com/pandas-dev/pandas/issues/48141

Reverts https://github.com/pandas-dev/pandas/pull/48043 and https://github.com/pandas-dev/pandas/pull/48115 for now.
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 1.5.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 a551f1b7b0aeace5d3c6a1c629dce5442fcee85b
```

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

```
git commit -am 'Backport PR #48417: Revert set_index inplace and copy keyword changes'
```

4. Push to a named branch:

```
git push YOURFORK 1.5.x:auto-backport-of-pr-48417-on-1.5.x
```

5. Create a PR against branch 1.5.x, I would have named this PR:

> "Backport PR #48417 on branch 1.5.x (Revert set_index inplace and copy keyword changes)"

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).
                 Thanks @jorisvandenbossche 