Added test_set_index_dtypes_on_empty_DataFrames to check dtypes after…
… using set_index on a DataFrame with empty Series that have dtype

- [x] closes #38419
- [x] tests added / passed test_set_index_dtypes_on_empty_DataFrames
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry. Added a test to check that dtypes don't change after using set_index on a DataFrame with empty Series
