PERF: nested dict DataFrame construction
Part of #11084

http://pydata.github.io/pandas/#frame_ctor.frame_ctor_nested_dict_int64.time_frame_ctor_nested_dict_int64

```
    before     after       ratio
   [d28fd70 ] [48c588  ]
-  325.06ms    72.25ms      0.22  frame_ctor.frame_ctor_nested_dict.time_frame_ctor_nested_dict
-  364.35ms   106.67ms      0.29  frame_ctor.frame_ctor_nested_dict_int64.time_frame_ctor_nested_dict_int64
```

Two changes to get back to the old performance:
- skip attempting to box `Timedeltas`/`Timestamps` if not a `DatetimeIndex`/`TimedeltaIndex`
- only convert index to object once

ping when green (and tests are moved)
 @jreback - moved the `Period` test as suggested, travis is green. Thanks.
 thanks@
