Avoid unnecessary Index cast in IndexedFrame.index setter

[charlesbluca]

Description

Triaging recent dask-cuda breakage led me to #15781, where it seems like the passing of an index object directly to the IndexedFrame.index setter (and therefore, wrapping of this index in an Index() constructor) has caused proxifying issues on dask-cuda's end.

cc @rjzamora @mroeschke

Checklist

• I am familiar with the Contributing Guidelines.
• New or existing tests cover these changes.
• The documentation is up to date with these changes.

[mroeschke]

Could we also add this simple test in python/cudf/cudf/tests/test_index.py

@pytest.mark.parametrize("index", [cudf.Index([1]), cudf.RangeIndex(1), cudf.MultiIndex(levels=[[0]], codes=[[0]])])
def test_index_assignment_no_shallow_copy(index):
    df = cudf.DataFrame(range(1))
    df.index = index
    assert df.index is index

[charlesbluca]

On recommendations from @mroeschke, retargeted this to 24.08 and opened #15844 with a simpler unblocker for the dask-cuda breakage for the sake of time.

[mroeschke]

/merge