PERF: don't consolidate at __init__
xref mailing list [discussion](https://mail.python.org/pipermail/pandas-dev/2020-June/001246.html)

ATM most calls to `DataFrame(foo)` will end up going through either `core.internals.managers.create_manager_from_blocks` or `core.internals.managers.create_block_manager_from_arrays`, both of which call `mgr._consolidate_inplace()` before returning a `BlockManager` object.  I think we should consider disabling this consolidation.  (There is also consolidation-by-another-name within form_blocks that im still tracking down)

Behavior-wise, consider:

```
arr = np.random.randn(10)
ser = pd.Series(arr)

df = pd.DataFrame({"A": arr, "B": ser})
```

ATM we get a new 2x10 array backing `df`.  The proposed change would mean that we keep 2 separate arrays, and `df["B"]` shares data with `ser`.  I find the proposed behavior more intuitive.

Performance-wise, we expect faster construction but slower subsequent operations. [note to self: get some estimates/measurements here].  For long-lived DataFrames where the subsequent slowdowns add up, we can suggest users call `_consolidate()` (which i guess we would have to de-privatize)
