Regression in DataFrame.set_index with class instance column keys
The following code worked in Pandas 0.23.4 but not in Pandas 0.24.0 (I'm on Python 3.7.2).

```python
import pandas as pd

class Thing:
    # (Production code would also ensure a Thing instance's hash
    # and equality testing depended on name and color)

    def __init__(self, name, color):
        self.name = name
        self.color = color
    
    def __str__(self):
        return "<Thing %r>" % (self.name,)

thing1 = Thing('One', 'red')
thing2 = Thing('Two', 'blue')
df = pd.DataFrame({thing1: [0, 1], thing2: [2, 3]})
df.set_index([thing2])
```

In Pandas 0.23.4, I get the following correct result:

```
               <Thing 'One'>
<Thing 'Two'>               
2                          0
3                          1
```

In Pandas 0.24.0, I get the following error:

```Python-traceback
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File ".../venv/lib/python3.7/site-packages/pandas/core/frame.py", line 4153, in set_index
    raise ValueError(err_msg)
ValueError: The parameter "keys" may be a column key, one-dimensional array, or a list containing only valid column keys and one-dimensional arrays.
```

After looking at Pandas 0.24.0's implementation of `DataFrame.set_index`:
https://github.com/pandas-dev/pandas/blob/83eb2428ceb6257042173582f3f436c2c887aa69/pandas/core/frame.py#L4144-L4153
I noticed that `is_scalar` returns `False` for `thing1` in Pandas 0.24.0:

```Python-console
>>> from pandas.core.dtypes.common import is_scalar
>>> is_scalar(thing1)
False
```
I suspect that it is incorrect to test DataFrame column keys using `is_scalar`.

# Output of ``pd.show_versions()``

<details>

## `pd.show_versions()` from Pandas 0.23.4
INSTALLED VERSIONS
------------------
commit: None
python: 3.7.2.final.0
python-bits: 64
OS: Darwin
OS-release: 17.7.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.23.4
pytest: None
pip: 18.1
setuptools: 40.4.3
Cython: None
numpy: 1.16.0
scipy: 1.1.0
pyarrow: None
xarray: None
IPython: 7.2.0
sphinx: None
patsy: None
dateutil: 2.7.3
pytz: 2018.5
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: None
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: 1.1.2
lxml: None
bs4: None
html5lib: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None

## `pd.show_versions()` from Pandas 0.24.0
INSTALLED VERSIONS
------------------
commit: None
python: 3.7.2.final.0
python-bits: 64
OS: Darwin
OS-release: 17.7.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.24.0
pytest: None
pip: 18.1
setuptools: 40.4.3
Cython: None
numpy: 1.16.0
scipy: 1.1.0
pyarrow: None
xarray: None
IPython: 7.2.0
sphinx: None
patsy: None
dateutil: 2.7.3
pytz: 2018.5
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: None
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: 1.1.2
lxml.etree: None
bs4: None
html5lib: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
gcsfs: None

</details>
