API: honor copy=True when passing dict to DataFrame
- [x] closes #32960
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

xref #34872 cc @TomAugspurger used the test_dict_nocopy you wrote but it ended up pretty mangled