TST: tests for GH4862, GH7401, GH7403, GH7405
closes https://github.com/pydata/pandas/issues/4862
closes https://github.com/pydata/pandas/issues/7401
closes https://github.com/pydata/pandas/issues/7403
closes https://github.com/pydata/pandas/issues/7405

minor code change to https://github.com/pydata/pandas/pull/9061; otherwise only tests. the code change is to avoid https://github.com/pydata/pandas/issues/9170 issue.

@jreback took `_shallow_copy/Index` to a separate functions, and removed `check_dtype=False`. 
 @behzadnouri ok this looks good. and tests ok on windows.

can you add a release note (you can put all the issues on the same one I think). ping when pushed.
 @jreback done!
 thanks! a 4-some! excellent
