REGR: ensure numpy fixed-size binary/string arrays are converted to object dtype for Index creation
- [X] closes #57645 
- [X] [Tests added and passed] if fixing a bug or adding a new feature
- [X] All [code checks passed].
- [ ] Added [type annotations] to new arguments/methods/functions.
- [X] Added an entry in the latest `doc/source/whatsnew/v3.0.0.rst` file if fixing a bug or adding a new feature.

While using the function set_index with parameter inplace=True, the function would try and create a new index where its dtype would be a FLS `S{value}` dtype, which was not recognized by the function `_dtype_to_subclass` and raised a NotImplementedError. That said , by adding a verification that recognizes FLS dtype , the index is created successfully and the function executes properly.

This pull request is stale because it has been open for thirty days with no activity. Please [update](https://pandas.pydata.org/pandas-docs/stable/development/contributing.html#updating-your-pull-request) and respond to this comment if you're still interested in working on this. @jorisvandenbossche Hi, sorry to bother you, but would it be possible to get some feedback on this? 
Thank you! Thanks for the pull request, but it appears to have gone stale. If interested in continuing, please merge in the main branch, address any review comments and/or failing tests, and we can reopen.