ENH: Add FrozenList.union and .difference
Re-attempt of #15506.

Hopefully no doc slowdowns on Travis this time 🙏 ! (xref #15559)

Closes #15475.

No deprecation of `__add__` and `__iadd__` because we rely on overloading `+` internally when operating on array-likes (in general) in some cases (e.g. [here](https://github.com/pandas-dev/pandas/blob/62a15fa4071/pandas/core/reshape/melt.py#L82)).  In some cases, that array-like will be `FrozenList`.