ENH: Set index of returned dataframe in DatetimeIndex.isocalendar
This is a followup on #33595, (specifically [here](https://github.com/pandas-dev/pandas/pull/33595#issuecomment-614888200) and [here](https://github.com/pandas-dev/pandas/pull/33595#issuecomment-614897268)), where it was noted that `DatetimeIndex.isocalendar` should set the index of the
returned dataframe.