BUG: datetime index name droped after date_range selection

[SylvainLan]

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Reproducible Example

import pandas as pd

df = pd.DataFrame({'date': [pd.to_datetime(d) for d in ['20220101', '20220102', '20220103']], 'value': [1, 2, 3]})
df = df.set_index('date')

print(df.loc[slice('20220101', '20220102'), :].index.name)
print(df.loc[pd.date_range('20220101', '20220102'), :].index.name)

Issue Description

Hello,

I realized that using a date_range object with .loc on a datetime indexed dataframe drops the name of the corresponding index.

I'm not sure this behavior is normal.

Expected Behavior

The name of the index should be kept

Installed Versions

INSTALLED VERSIONS

commit : e8093ba
python : 3.8.10.final.0
python-bits : 64
OS : Linux
OS-release : 4.20.0-042000-generic
Version : #201812232030 SMP Mon Dec 24 01:32:58 UTC 2018
machine : x86_64
processor : x86_64
byteorder : little
LC_ALL : None
LANG : en_US.UTF-8
LOCALE : en_US.UTF-8

pandas : 1.4.3
numpy : 1.23.0
pytz : 2022.1
dateutil : 2.8.2
setuptools : 44.0.0
pip : 20.0.2
Cython : None
pytest : None
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : None
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : None
IPython : None
pandas_datareader: None
bs4 : None
bottleneck : None
brotli : None
fastparquet : None
fsspec : None
gcsfs : None
markupsafe : None
matplotlib : None
numba : None
numexpr : None
odfpy : None
openpyxl : None
pandas_gbq : None
pyarrow : None
pyreadstat : None
pyxlsb : None
s3fs : None
scipy : None
snappy : None
sqlalchemy : None
tables : None
tabulate : None
xarray : None
xlrd : None
xlwt : None
zstandard : None

[simonjayhawkins]

Thanks @SylvainLan for the report. Looks like a duplicate of #45818

Expected Behavior

The name of the index should be kept

This was indeed the case in pandas-1.3.5

There was an intentional change in commit: [4a2096d] CI: Fix doctests (#42790) to preserve the name from an Index

pd.date_range('20220101', '20220102') creates an DatetimeIndex(['2022-01-01', '2022-01-02'], dtype='datetime64[ns]', freq='D') without a name.