BUG: SparseSeries.to_frame results in dense
- [x] closes #9850
- [x] tests added / passed
- [x] passes `git diff upstream/master | flake8 --diff`
- [x] whatsnew entry

This should be after #12831.

so this can be rebased
 Rebased. Also, forgot to note that I don't fix `to_panel` which is being deprecated.
 @sinhrks thanks! you are really closing these sparse issues!

yeah `SparseDataFrame.to_panel()` is no problem
