DEPR: subclassing Index

[jbrockmendel]

In theory we support subclassing Index, but that support is spotty (xref #15258, #37882). Now that we allow arbitrary EAs in Index, we should deprecate that and direct downstream libraries to use EAs instead.

xref pydata/xarray#6129

[rhshadrach]

For this deprecation, is this merely a docs change or would we be actively stopping users from subclassing Index?

[jbrockmendel]

I think just a docs change