[WIP] Make Index.values read-only
- [ ] closes #33001
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

This is a PR for looking around enforcing immutability of `pd.Index` objects. It will be a draft, but the main idea is to show what tests fail and what would need to change for this to be implemented. Because of this, I'm going to add some commits incrementally, so there is a history in the build logs.