BUG: Inconsistent behavior in Index.difference
- [ ] closes #35217
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Thanks @jorisvandenbossche for reviewing this. have extended an existing test @simonjayhawkins are you able to update here? > @simonjayhawkins are you able to update here?

i've parameterised the additional tests added in response to https://github.com/pandas-dev/pandas/pull/35231#pullrequestreview-447153446

not sure parameterise makes sense for the issue regression tests (parameterise on `order` i.e index.equals(other) and other.equals(index) or include the indexes in the parameterisation?) 

have pushed changes but not yet appearing here.  > have pushed changes but not yet appearing here.

The changes are now showing, but ci not running. azure and travis triggered, but not github actions. will push another empty commit later if github actions doesn't run. lgtm. can merge on green.