ENH: improve extract and get_dummies methods for Index.str (fix for #9980)
Closes #9980

Thanks! Added "Closes ... " description to the body to automatically close the original issue.

I'll update #9843 once behavior is decided.
 pls add a release note. lgtm otherwise
 @jreback updated with release note and issue number as inline comment as you suggested 
 @mortada can you update/rebase. I believe you can use `_wrap_result_expand` to simplify the code a bit.
 @jreback updated, I can squash the commits later but for now I want to showcase the difference between the two implementations. To simplify the code inside `str_extract()`, we'd need to pass the `name` argument down into `_wrap_result()` 
 merged via https://github.com/pydata/pandas/commit/e68638778b627f898ad3dd63dabdff9442e18e76

thanks!
