PERF: postpone imports in Index constructor
xref https://github.com/pandas-dev/pandas/issues/30790, it's for improving this one mentioned in that issue:

```
arr_str = np.array(["foo", "bar", "baz"], dtype=object)
%timeit pd.Index(arr_str)
```

Only importing the index classes when we actually need them gives a 15-20% speedup.

Last week when profiling the Index constructor, I noticed that those imports actually take quite a bit of time (and it's a change that was introduced after 0.25, https://github.com/pandas-dev/pandas/pull/28141). I didn't get any further with profiling (this alone doesn't explain the full slowdown), but thought it's an easy one to already do anyway.