BUG: convert dtypes copies column_index names
- [x] closes #41435 
- [x] tests added / passed

tests may be in wrong place.

solution may be the easiest, but it maybe not the best or most robust.

> solution may be the easiest, but it maybe not the best or most robust.

id suggest doing something like `self._mgr.apply(soft_convert_objects)` this solution should be probably be deferred then, until more time to understand and develop 