REGR: DatetimeIndex.intersection #42104
- [x] closes #42104
- [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

I've milestoned 1.3, but looks like a trvial backport if we want to include in 1.2.5. 

@jbrockmendel can you add a release note @meeseeksdev backport 1.3.x Something went wrong ... Please have  a look at my logs.