setitem on empty DataFrame / Series casts to RangeIndex
I thought we had an issue for this, but couldn't find it.

```python
In [41]: df = pd.DataFrame(columns=['A'])

In [42]: df.index.dtype
Out[42]: dtype('O')

In [43]: df['A'] = []

In [44]: df.index.dtype
Out[44]: dtype('int64')

In [45]: df.index
Out[45]: RangeIndex(start=0, stop=0, step=1)
```

I this should still be empty an empty `Index` (though see https://github.com/pandas-dev/pandas/pull/16961 which proposes change `pd.Series()` to have that use a range index. Not sure if that's a good idea or not).

xref https://github.com/dask/dask/issues/2564