BUG: Index.to_numpy returned a referenece to the index' data
- [X] closes #49663
- [X] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [X] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [X] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

`Index.to_numpy` returned a reference instead of a copy of the underlying data, meaning that is was possible to alter the index' supposedly immutable data:

```ipython
>>> import pandas as pd
>>> idx = pd.Index(["a", "b"])
>>> res = idx.to_numpy()
>>> res[0] = "x"
>>> idx
Index(['x', 'b'], dtype='object')  # main, ups
Index(['a', 'b'], dtype='object')  # this PR
```
closing temporarily