CLN: remove Index._to_embed
`_to_embed`'s dtype keyword was not used, and apart from that it was a trivial return of the `values`, and only used in `to_series`, so doesn't seem worth to have. 
Hello @jorisvandenbossche! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/core/indexes/base.py`](https://github.com/jorisvandenbossche/pandas/blob/83f0b4fcb922df41398d2e2b21b1baa1dfa16625/pandas/core/indexes/base.py) !

 - There are no PEP8 issues in the file [`pandas/core/indexes/datetimes.py`](https://github.com/jorisvandenbossche/pandas/blob/83f0b4fcb922df41398d2e2b21b1baa1dfa16625/pandas/core/indexes/datetimes.py) !

 - There are no PEP8 issues in the file [`pandas/core/indexes/period.py`](https://github.com/jorisvandenbossche/pandas/blob/83f0b4fcb922df41398d2e2b21b1baa1dfa16625/pandas/core/indexes/period.py) !

 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22879?src=pr&el=h1) Report
> Merging [#22879](https://codecov.io/gh/pandas-dev/pandas/pull/22879?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/e45a6c14fc969c31c46ae890e72883ffe6658b4e?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/22879/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/22879?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #22879      +/-   ##
==========================================
+ Coverage   92.18%   92.19%   +<.01%     
==========================================
  Files         169      169              
  Lines       50830    50819      -11     
==========================================
- Hits        46860    46852       -8     
+ Misses       3970     3967       -3
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.6% <100%> (ø)` | :arrow_up: |
| #single | `42.37% <25%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/22879?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/period.py](https://codecov.io/gh/pandas-dev/pandas/pull/22879/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9wZXJpb2QucHk=) | `93.66% <ø> (+0.17%)` | :arrow_up: |
| [pandas/core/indexes/datetimes.py](https://codecov.io/gh/pandas-dev/pandas/pull/22879/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9kYXRldGltZXMucHk=) | `95.77% <100%> (+0.11%)` | :arrow_up: |
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/22879/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `96.44% <100%> (+0.04%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22879?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22879?src=pr&el=footer). Last update [e45a6c1...f7a0aaf](https://codecov.io/gh/pandas-dev/pandas/pull/22879?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @TomAugspurger or @jreback quick sanity check? 
(remaining failure is parquet s3) Thanks!