call __finalize__ in more methods
- [ ] closes #xxxx
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

The goal here is to make progress on some of the more uncontroversial/easier content of #28283. I'll split off into another PR if this gets too big