ENH: add expand kw to str.get_dummies
Ref: #10008. 

Though this still under work (needs #10089 to simplify `get_dummies` flow), would like to discuss followings.

~~#### `.str.extract` note: overlaps with #11386~~

~~Currently it returns `Series` for a single group and `DataFrame` for multiples. To support `expand` kw, we have to choose :~~

~~1. Add `expand` option keeping existing behavior with warning for future change to `extract=True` (current impl).~~
~~2. Add `expand` option keeping existing behavior. Standardize `extract=None` (or other option) to select returning dimensionality automatically.~~ 
~~3. Add `expand` option with default `True` (or `False`). This breaks the API.~~
~~4. Make `Index.str.extract` return `MultiIndex` in multiple group case without adding `expand` option.~~
#### `.str.get_dummies`
1. Add `expand` kw with default `True`. Currently this always returns `DataFrame` (and raises `TypeError` in `Index`). This doesn't break an API (current impl).
2. Make `Index.str.get_dummies` return `MultiIndex` without adding `expand` option.

CC @mortada
