Error with .drop([]) on non-unique index
Wraps the labels array in `_ensure_object`. The labels array is being cast to a float by default, causing the error raised in #16398.

 - [X] closes #16398 
 - [X] tests added / passed
 - [X] passes ``git diff upstream/master --name-only -- '*.py' | flake8 --diff``
 - [x] whatsnew entry
