API: Localize Series when calling to_datetime with utc=True (#6415)
 - [x] closes #6415
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master -u -- "*.py" | flake8 --diff``
 - [x] whatsnew entry

When `_convert_listlike` passes a `np.array` into a `Series`, the `Series` seems to initially be of naive datetime dtype. Localized `Series` if `utc=True`. 

I made one minor change to an existing test that `tz_localize` and index when it originally set the index with a `Series` with `pd.to_datetime(...utc=True)`.