[ArrayManager] TST: get tests running for /tests/frame
xref https://github.com/pandas-dev/pandas/issues/39146

This is on top of https://github.com/pandas-dev/pandas/pull/39612, so only the last commit is relevant for this PR: https://github.com/pandas-dev/pandas/pull/39700/commits/ec83091284ac9a388ef147e006e2d4d43d946ea7
Rebased this now https://github.com/pandas-dev/pandas/pull/39841 is merged couple comments, otherwise LGTM thanks, hopefully nothing breaks from prior merges :-<