API: concat on sparse values
API breaking change to `concat(List[DataFrame[Sparse]])` to
return a DataFrame with sparse values, rather than a SparseDataFrame.

Doing an outright break, rather than deprecation, because I have a
followup PR deprecating SparseDataFrame. We hit this internally in
a few places (e.g. get_dummies on all-sparse data).

Closes https://github.com/pandas-dev/pandas/issues/25702

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