REGR: changed return type for multi-dimensional indexing
I kept my code free of deprecation warnings for 0.25.3 but upgrading still broke it.

I can now see on the tracker that multi-dimensional indexing has been deprecated #27837, #30588 #30867, but it seems the introduction of the deprecation warning has changed the behaviour itself.


```python
>>> pd.__version__
'0.25.3'
>>> idx = pd.Index([f'ID_{x}' for x in range(10)])
>>> selector = np.array(np.random.randint(0, 10, (3, 10)))
>>> selector
array([[2, 3, 4, 9, 1, 8, 5, 6, 3, 3],
       [3, 5, 0, 7, 1, 3, 2, 0, 2, 8],
       [8, 4, 6, 8, 0, 4, 3, 4, 5, 7]])
>>> idx[selector]
Index(['ID_2', 'ID_3', 'ID_4', 'ID_9', 'ID_1', 'ID_8', 'ID_5', 'ID_6', 'ID_3',
       'ID_3', 'ID_3', 'ID_5', 'ID_0', 'ID_7', 'ID_1', 'ID_3', 'ID_2', 'ID_0',
       'ID_2', 'ID_8', 'ID_8', 'ID_4', 'ID_6', 'ID_8', 'ID_0', 'ID_4', 'ID_3',
       'ID_4', 'ID_5', 'ID_7'],
      dtype='object')
>>> idx[selector].values
array([['ID_2', 'ID_3', 'ID_4', 'ID_9', 'ID_1', 'ID_8', 'ID_5', 'ID_6',
        'ID_3', 'ID_3'],
       ['ID_3', 'ID_5', 'ID_0', 'ID_7', 'ID_1', 'ID_3', 'ID_2', 'ID_0',
        'ID_2', 'ID_8'],
       ['ID_8', 'ID_4', 'ID_6', 'ID_8', 'ID_0', 'ID_4', 'ID_3', 'ID_4',
        'ID_5', 'ID_7']], dtype=object)
```

On `v1.0.1`, this yields an `np.array` instead of a `pd.Index`, and so the `.values` call fails.
```python
>>> idx[selector]
__main__:1: DeprecationWarning: Support for multi-dimensional indexing (e.g. `index[:, None]`) on an Index is deprecated and will be removed in a future version.  Convert to a numpy array before indexing instead.
array([['ID_2', 'ID_3', 'ID_4', 'ID_9', 'ID_1', 'ID_8', 'ID_5', 'ID_6',
        'ID_3', 'ID_3'],
       ['ID_3', 'ID_5', 'ID_0', 'ID_7', 'ID_1', 'ID_3', 'ID_2', 'ID_0',
        'ID_2', 'ID_8'],
       ['ID_8', 'ID_4', 'ID_6', 'ID_8', 'ID_0', 'ID_4', 'ID_3', 'ID_4',
        'ID_5', 'ID_7']], dtype=object)
```

Note also that the warning is (at least for me) not raised on python 3.6, only on 3.7.

If desired, I can flesh out the reasons for needing this multi-dimensional indexing. I wonder how I'll be able to replace it.