BUG: Index removes name when sliced
closes #4226

can u make sure no perf hit with a test_perf ?
 running now
 whenever I touch indexing I make sure to do that
seemingly innocuous changes sometimes have impact ( that said there IS some variation in perf stats so even a 15% reduction may not mean much and could change in retest)
 good to know. seems like only a small constant will be added here since getslice just passes to getitem, but i'll be sure to do that whenever i touch indexing
 i haven't really had time to play with `test_perf.sh` but is there a way to look at all `test_perf.sh` runs one has done? e.g., i could run overnight 1000 times and look at variability to get a reasonable estimate 
 well this is annoying

```
index_datetime_union                         |  51.5563 |  10.3513 |   4.9806 |
index_datetime_intersection                  |  51.4587 |  10.3063 |   4.9929 |
-------------------------------------------------------------------------------
Test name                                    | head[ms] | base[ms] |  ratio   |
-------------------------------------------------------------------------------
```
 twice in a row it's been around ~5
 @jreback what to do here...`__getslice__` is defined by `ndarray` in C code so...gonna be a little hard to get around this.
 array_finalize should set name (I thought it did)?
this is called on array creation after a numpy func
 hm ok my fix looks unecessary, there's something weird in `DatetimeIndex` since `__array_finalize__` is not being called
 oh nvm i c. no name attr there nice, easy fix
 perf back to fluctuating around 1.0! yay!
 @jreback any more thoughts here?
 so this actuallly ends up being a trivial change....ok...merge away
