[BUG]: Fix ValueError in concat() when at least one Index has duplicates
- [x] closes #36263
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

If obj_labes Index has duplicates and they are not removed from new_labels before redindexing, they are multiplied. So we would get a way too big index.