BUG: Retain timezone information in to_datetime if box=False
- [x] closes #22446
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

Don't think this requires a whatsnew entry since this was introduced in (and part of) #21822 which is slated for v0.24.0
can you just append this issue number to the prior whatsnew entry, otherwise lgtm (failing tests though) # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22457?src=pr&el=h1) Report
> Merging [#22457](https://codecov.io/gh/pandas-dev/pandas/pull/22457?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/68273a7a8b05049b311ea207f78e6d6f30c6eaf5?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/22457/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/22457?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #22457      +/-   ##
==========================================
- Coverage   92.05%   92.04%   -0.01%     
==========================================
  Files         169      169              
  Lines       50733    50743      +10     
==========================================
+ Hits        46702    46708       +6     
- Misses       4031     4035       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.45% <100%> (-0.01%)` | :arrow_down: |
| #single | `42.24% <20%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/22457?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/tools/datetimes.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvdG9vbHMvZGF0ZXRpbWVzLnB5) | `85.22% <100%> (+0.14%)` | :arrow_up: |
| [pandas/util/\_depr\_module.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvX2RlcHJfbW9kdWxlLnB5) | `65.11% <0%> (-2.33%)` | :arrow_down: |
| [pandas/core/reshape/pivot.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcmVzaGFwZS9waXZvdC5weQ==) | `96.55% <0%> (-0.63%)` | :arrow_down: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `85.75% <0%> (-0.11%)` | :arrow_down: |
| [pandas/core/reshape/merge.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcmVzaGFwZS9tZXJnZS5weQ==) | `94.15% <0%> (-0.01%)` | :arrow_down: |
| [pandas/core/groupby/grouper.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS9ncm91cGVyLnB5) | `98.16% <0%> (-0.01%)` | :arrow_down: |
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `96.44% <0%> (-0.01%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.24% <0%> (-0.01%)` | :arrow_down: |
| [pandas/core/arrays/integer.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvYXJyYXlzL2ludGVnZXIucHk=) | `94.55% <0%> (ø)` | :arrow_up: |
| [pandas/io/parsers.py](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnNlcnMucHk=) | `95.48% <0%> (ø)` | :arrow_up: |
| ... and [2 more](https://codecov.io/gh/pandas-dev/pandas/pull/22457/diff?src=pr&el=tree-more) | |

------

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> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22457?src=pr&el=footer). Last update [68273a7...9f5f924](https://codecov.io/gh/pandas-dev/pandas/pull/22457?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Thanks @jreback. (Build errors were unrelated to the last commit) 