BUG: dropna changing index when nothing is dropped

[phofl]

• closes BUG: dropna('rows') changes index type even when no row was dropped  #41965
• tests added / passed
• Ensure all linting tests pass, see here for how to run them
• whatsnew entry

# With nan as last element
# before
# 1.63 ms ± 113 µs per loop (mean ± std. dev. of 7 runs, 100 loops each)

# after
# 1.68 ms ± 91.5 µs per loop (mean ± std. dev. of 7 runs, 1000 loops each)


# without nan
# before
# 1.6 ms ± 68.5 µs per loop (mean ± std. dev. of 7 runs, 100 loops each)

# after
# 714 µs ± 63.3 µs per loop (mean ± std. dev. of 7 runs, 1000 loops each)

[jreback]

ty!