REGR: Fix Index construction from Sparse["datetime64[ns]"]
- [ ] closes #35843
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

yep later in the day here, so if all backports ok, will start the release in the morning. @simonjayhawkins great on your schedule of course!