BUG: DataFrame.copy not consolidating
- [x] closes #42477
- [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
- [ ] whatsnew entry

@mzeitlin11 did you want to suggest an improved warning message for .insert?
> @mzeitlin11 did you want to suggest an improved warning message for .insert?

Thanks for the heads up.  Since this fix should be independent to that and don't want to hold up this pr, probably easiest as a separate pr @jbrockmendel tests are failing. also needs release note for 1.3.1 > also needs release note for 1.3.1

bugfix section hmm these failures unrelated? maybe merge master again can you run some asv's as well to make sure this doesn't change perf drastically. maybe insert / concat / copy ones. @meeseeksdev backport 1.3.x Something went wrong ... Please have  a look at my logs. I'm seeing this warning with Python 3.8.12; pandas 1.3.4 using this function to combine a list of data frames (from parquet files)
`pd.concat(objs=[pd.read_parquet(path=i, use_nullable_dtypes=True) for i in local_files], axis=0, ignore_index=True).copy()`