CoW: Add reference tracking to index when created from series
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cc @jbrockmendel this takes a shot at #34364 under CoW. Still a rough poc that is missing tests for the other index classes, but would appreciate if you could take a quick look. This avoids modifying an index by modifying the object it was created from. 
Currently, this doesn't yet _create_ new BlockValuesRefs objects, right? But only store then on the Index if the input data already has refs. 

For example, consider `idx1 = pd.Index([1, 2, 3]); idx2 = pd.Index(idx1)`. Then `idx1` doesn't have a ref object (because created from a list), but so also `idx2` doesn't have one then? 
That's fine as long as we only use for tracking Series -> Index construction. But for the Index -> Series way (creating a Series from an Index currently explicitly copies the data to avoid all those issues), if we would want to optimize that as well, we would need to start creating the ref object as well? And the approach generally certainly looks good. It's a bit unfortunate that we will need to start keeping track of this in index operations as well (considering which ones gives views etc), while it would have been nice not to have to do this (but yeah, the only option then is to always copy data when creating an Index, if we want to optimize this, this is unavoidable). Yes exactly, we are doing a copy in this case right now if I am not mistaken, so I kept it out of here on purpose. But this is certainly a sensible follow up So you'd say this is generally ok to merge? For me, yes Rebasing once more merging to get started with the follow ups Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
git checkout 2.0.x
git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
git cherry-pick -x -m1 b02ffe2673879d3d2922f89fa3d02fb59156f9ef
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
git commit -am 'Backport PR #51803: CoW: Add reference tracking to index when created from series'
```

4. Push to a named branch:

```
git push YOURFORK 2.0.x:auto-backport-of-pr-51803-on-2.0.x
```

5. Create a PR against branch 2.0.x, I would have named this PR:

> "Backport PR #51803 on branch 2.0.x (CoW: Add reference tracking to index when created from series)"

And apply the correct labels and milestones.

Congratulations — you did some good work! Hopefully your backport PR will be tested by the continuous integration and merged soon!

Remember to remove the `Still Needs Manual Backport` label once the PR gets merged.

If these instructions are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                