BUG: fix concat of Sparse with non-sparse dtypes
Closes #34336

This adds tests with the behaviour as it was on 0.25.3 / 1.0.3, and some changes to get back to that behaviour.  
(but whether this behaviour is fully "sane", I am not sure ..)
OK, will go forward with this PR as is (matching the previous behaviour) to unblock the other concat PRs, but will open a set of follow-up issues. And opened https://github.com/pandas-dev/pandas/issues/34459 for the general "what should concat(sparse, categorical) do?" question