TYP: Misc changes for pandas-stubs; use Protocol to avoid str in Sequence
The first commit addresses some type issues found by running mypy on the tests from pandas-stubs (one big issue is that Index/Series are not included in IndexLabel; there might be cases where that is correct but in many cases they should be included).

The second commit re-writes #47233 with the protocol version of Sequence.

Can split it in two PRs if one of them is controversial.
Thanks @twoertwein (you two are the typing authorities as far as I'm concerned :) )