ENH: Add sort parameter to other set operations if possible
As part of #22811 I added a ``sort`` parameter to the ``difference`` set operation with a default of ``True``. The other set operations do not have this parameter but some of them sort by default if possible. Should we add a ``sort`` parameter to the other set operations too if possible for consistency?

TODO:
- [x] 0.24.0 DateTimeIndex: union() got an unexpected keyword argument 'sort' #24994
- [x] TimedeltaIndex.intersection has no `sort` option. #24966
- [x] Check if we can implement the ``sort`` parameter for ``RangeIndex.union`` (#25788)
- [ ] Decide the sort behaviour when the two Indexes are equal or one of the two Indexes are empty
- [ ] Review all set operation tests and ensure that all corner cases are being tested and that sort behaviour is actually being tested (e.g., pass Indexes that are not already sorted to tests)
- [ ] Implement ``sort=True`` and deprecate ``sort=None`` in future release?
