API: SparseSeries.to_frame and SparseDataFrame.to_panel result in dense structures

[sinhrks]

Related to #9802. I think these should return sparse.

import pandas as pd

ss = pd.SparseSeries([1, 0, 1])
type(ss.to_frame())
# <class 'pandas.core.frame.DataFrame'>

index = pd.MultiIndex.from_tuples([(0, 0), (0, 1), (1, 1)])
sdf = pd.SparseDataFrame([[1, 0, 1], [0, 0, 0], [1, 0, 0]], index=index)
type(sdf.to_panel())
# <class 'pandas.core.panel.Panel'>

[shoyer]

Agreed. We discussed this here: #8048