BUG: concat with DTI and all-None Index
- [x] closes #40841
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

@jbrockmendel can you add a release note for 1.2.5 oh 

> pandas/core/groupby/generic.py:181: error: Cannot override final attribute "_obj_with_exclusions" (previously declared in base class "SelectionMixin")  [misc]
> pandas/core/groupby/generic.py:934: error: Cannot override final attribute "_obj_with_exclusions" (previously declared in base class "SelectionMixin")  [misc]

is on master

cc @jbrockmendel  @meeseeksdev backport 1.2.x Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
$ git checkout 1.2.x
$ git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
$ git cherry-pick -m1 918e9f42e8250fb0a2422050e4b65644574e49a4
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
$ git commit -am 'Backport PR #40924: BUG: concat with DTI and all-None Index'
```

4. Push to a named branch :

```
git push YOURFORK 1.2.x:auto-backport-of-pr-40924-on-1.2.x
```

5. Create a PR against branch 1.2.x, I would have named this PR:

> "Backport PR #40924 on branch 1.2.x"

And apply the correct labels and milestones.

Congratulation you did some good work ! Hopefully your backport PR will be tested by the continuous integration and merged soon!

If these instruction are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                