BUG: merge_asof should be treated as a left join
- [x] closes #33463
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The fix broke one test (`test_merge_index_column_tz` in `test_merge_asof.py`) which expected the right index instead of the left index.

The default index selection does not work in case of asof and `left_index=True`. I had to catch this case here.