REGR: pd.to_hdf(..., dropna=True) not dropping missing rows
- [x] closes #35719
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
Ready for re-review (CI green + addressed comments) thanks @arw2019 very nice