CLN: indexing
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Working on refactoring the indexing setitem code so that we go down the same path regardless of consolidation status.  This splits off a small piece of that as a prelim.