ERR/TST: Raise NotImplementedError in to_hdf for extension dtypes in MultiIndex
- [x] closes #7775
- [x] closes #21671
- [x] closes #14948
- [x] closes #11926
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Also adds 3 regression tests for fixed timezone issues.