WIP/ENH: Pass tzinfos to dateutil parser
Putting this up early because the `set_option` behavior deserves discussion.  The alternative is to make/let users pass `tzinfos` in Timestamp, to_datetime, DatetimeIndex, and probably others.

- [x] closes #22234, #18702
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Still need to:
- [ ] document usage, whether via set_option or passing tzinfos
- [ ] tests for array_to_datetime, to_datetime, Timestamp, DatetimeIndex
- [ ] test for the fix of #22234
