[ArrayManager] TST: run (+fix/skip) pandas/tests/indexing tests
xref #39146

Extracting part of the test changes of https://github.com/pandas-dev/pandas/pull/39578. To keep the size a bit more limited, I am splitting the PRs, so this PR is doing `pandas/tests/indexing`. The `pandas/tests/frame/indexing` are handled in https://github.com/pandas-dev/pandas/pull/40323

