BUG: set index of DataFrame.apply(f) when f returns dict (#37544)
- [x] closes #37544
- [x] tests (added) updated / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Thanks, sure. thanks @ma3da 