API: PeriodIndex.values now return array of Period objects
- [x] split from #13941 (comment)
- [x] tests added / passed
- [x] passes `git diff upstream/master | flake8 --diff`
- [x] whatsnew entry

This change itself needs more tests / perf testing, split from the original PR.

## [Current coverage](https://codecov.io/gh/pydata/pandas/pull/13988?src=pr) is 85.26% (diff: 93.25%)

> Merging [#13988](https://codecov.io/gh/pydata/pandas/pull/13988?src=pr) into [master](https://codecov.io/gh/pydata/pandas/branch/master?src=pr) will decrease coverage by **<.01%**

``` diff
@@             master     #13988   diff @@
==========================================
  Files           139        139          
  Lines         50446      50475    +29   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
+ Hits          43018      43040    +22   
- Misses         7428       7435     +7   
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [df2d9ab...d7637c9](https://codecov.io/gh/pydata/pandas/compare/df2d9ab917a1ef4732cfb6c3317432f60c071074...d7637c9f3a5da88e0cb7b2a1cca8b476f8878ddc?src=pr)
 this looks fine. pls add a small section for showing the changes in whatsnew (though if this should be merged after #13941 can just add on there (and vice-versa)
 OK, let #13941 be first, because this PR includes some workarounds which can be removed once we have `period` dtype.
 @sinhrks pls rebase. This will be a welcome change!
 Needs a new rebase ;) (for your fixed of the tests)
 Can you also add a whatsnew notice?
 Added whatsnew, now ready for review.
 thanks!
