_setitem_with_indexer changes type from datetime to object
#### Code Sample, a copy-pastable example if possible

```python
import pandas as pd
from dateutil import parser as date_parser


def perform_operations_that_change_dtype(df):
    # If df is a single row DataFrame, the type of the
    # datetime columns will be changed to object.

    for x in df.columns:
        if df[x].dtype.kind == 'M':  # if it is a date
            if df[x].dt.tz is None:  # not time zone aware
                df.loc[:, x] = df[x].dt.tz_localize('GMT')  # tz aware
            df.loc[:, x] = df[x].dt.tz_convert('UTC')


def perform_operations_that_do_not_change_dtype(df):
    for x in df.columns:
        if df[x].dtype.kind == 'M':  # if it is a date
            if df[x].dt.tz is None:  # not time zone aware
                df[x] = df[x].dt.tz_localize('GMT')  # tz aware
            df[x] = df[x].dt.tz_convert('UTC')


# Show effects of tz_operations on the 'broken' DataFrame when using
# .loc for accessing columns.
broken_df = pd.DataFrame(
    [{'reference_date': '2019-03-14T10:00:00Z', 'value': '0.0'}])
broken_df['reference_date'] = broken_df['reference_date'].apply(
    lambda datestr: date_parser.parse(datestr))

assert(broken_df['reference_date'].dtype == 'datetime64[ns, tzutc()]')

# broken_df reference_date will be changed to object from datetime
perform_operations_that_change_dtype(broken_df)

assert(broken_df['reference_date'].dtype == 'object')

# Show effects of tz_operations on the 'working' DataFrame when using
# .loc for accessing columns.
working_df = pd.DataFrame(
    [{'reference_date': '2019-03-14T10:00:00Z', 'value': '0.0'},
     {'reference_date': '2019-03-14T10:00:00Z', 'value': '0.0'}])
working_df['reference_date'] = working_df['reference_date'].apply(
    lambda datestr: date_parser.parse(datestr))

assert(working_df['reference_date'].dtype == 'datetime64[ns, tzutc()]')

# this time the datetime type will be perserved
# the tz part will only be changed
perform_operations_that_change_dtype(working_df)

assert(working_df['reference_date'].dtype == 'datetime64[ns, UTC]')


# Show effects of tz_operations on the 'broken' DataFrame when using
# [] for accessing columns.
broken_df = pd.DataFrame(
    [{'reference_date': '2019-03-14T10:00:00Z', 'value': '0.0'}])
broken_df['reference_date'] = broken_df['reference_date'].apply(
    lambda datestr: date_parser.parse(datestr))

assert(broken_df['reference_date'].dtype == 'datetime64[ns, tzutc()]')

perform_operations_that_do_not_change_dtype(broken_df)

assert(broken_df['reference_date'].dtype == 'datetime64[ns, UTC]')
```
#### Problem description

Hello all!

I am facing a particularly weird issue, which I have pinpointed to be caused by the [_setitem_with_indexer method](https://github.com/pandas-dev/pandas/blob/6d9b702a661891724e6c10dd96eb149404205c67/pandas/core/indexing.py#L298)

From the code above, you can see that when `loc` is used inside `perform_operations_that_change_dtype` to retrieve a column and change its timezone, the resulting series is of dtype `object` instead of `datetime`. This behavior is not present when using `[]` as in `perform_operations_that_do_not_change_dtype`, and is only present for DataFrames with single rows. I know that the two approaches are different, but if both `loc` and `[]` return the same series, why is the resulting assignment different? From what I can see something happens inside the `_setitem_with_indexer` method that changes the type.

One thing that might be the issue is the `_try_coerce_args` method inside `ObjectBlock`: [link to line](https://github.com/pandas-dev/pandas/blob/6d9b702a661891724e6c10dd96eb149404205c67/pandas/core/internals/blocks.py#L2705). Why is `other`'s type changed to object when it is a DatetimeArray?

The only similar issue I managed to find is [this StackOverflow question](https://stackoverflow.com/questions/50359164/pandas-tz-convert-using-apply-returns-object-rather-than-datetime) that has 0 answers.

Thank you for looking at this issue and for creating and maintaining this amazing library! Hope my findings would be enough to guide someone to help me resolve this; I've been hammering at it the whole day.

#### Expected Output

The dtype of datetime is not changed to object.

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit: None
python: 3.7.2.final.0
python-bits: 64
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 79 Stepping 1, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.None

pandas: 0.24.2
pytest: 4.3.0
pip: 19.0.3
setuptools: 40.8.0
Cython: None
numpy: 1.16.0
scipy: None
pyarrow: None
xarray: None
IPython: 7.2.0
sphinx: None
patsy: None
dateutil: 2.8.0
pytz: 2018.9
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 3.0.3
openpyxl: None
xlrd: 1.2.0
xlwt: None
xlsxwriter: None
lxml.etree: None
bs4: None
html5lib: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
gcsfs: None

</details>
