DEPR: silent overflow on Series construction
- [ ] closes #xxxx
- [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 #40114 which tried to change the behavior without a deprecation cycle.

Handling DataFrame separately, as it is an entirely separate barrel of worms.