DatetimeIndex.to_frame() inconsistent with dti.to_series().to_frame()
For TZ-aware DatetimeIndex, `to_series()` drops the timezone unless we pass `keep_tz=True`

```
>>> dti = pd.date_range('1977-04-15', periods=3, freq='MS', tz='US/Hawaii')

>>> dti.to_series().to_frame().dtypes
0    datetime64[ns]

>>> dti.to_frame().dtypes
0    datetime64[ns, US/Hawaii]
```

IIRC there has been discussion about deprecating the need for `keep_tz`; this should be another reason to do so.