BUG: DataFrame.__setitem__ creates object-dtype array for 3rd Party extension type scalars
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [x] (optional) I have confirmed this bug exists on the master branch of pandas.

---

#### Code Sample, a copy-pastable example

```python
import decimal
from pandas.tests.extension.decimal.array import DecimalArray, DecimalDtype

import pandas as pd

df = pd.DataFrame(index=[0,1,2], columns=['a'], data=decimal.Decimal('1'))
df['b'] = decimal.Decimal('1')
df.dtypes
```

#### Problem description

Both columns 'a' and 'b' are created as object columns in the above DataFrame, instead of the expected Decimal type (and this happens for all 3rd party extension types). This is unexpected because these 3rd party extended are supported as a data type in pandas, but are not being applied.

This issue was originally reported for 1st party extension types in [Issue 34832](https://github.com/pandas-dev/pandas/issues/34832) and should be fixed (for 1st party extensions) in [PR 34875](https://github.com/pandas-dev/pandas/pull/34875). But work still remains to extend this bug fix to 3rd party extension types.

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : 291eb2d117f15eb17cca817ab0a6fb86f6b985a3
python           : 3.7.6.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 18.7.0
Version          : Darwin Kernel Version 18.7.0: Sun Dec  1 18:59:03 PST 2019; root:xnu-4903.278.19~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.0.dev0+1915.g291eb2d11
numpy            : 1.18.5
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.1.1
setuptools       : 47.3.1.post20200616
Cython           : 0.29.20
pytest           : 5.4.3
hypothesis       : 5.16.2
sphinx           : 3.1.1
blosc            : 1.9.1
feather          : None
xlsxwriter       : 1.2.9
lxml.etree       : 4.5.1
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.15.0
pandas_datareader: None
bs4              : 4.9.1
bottleneck       : 1.3.2
fastparquet      : 0.4.0
gcsfs            : None
matplotlib       : 3.2.2
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : 0.17.1
pytables         : None
pyxlsb           : None
s3fs             : 0.4.2
scipy            : 1.4.1
sqlalchemy       : 1.3.17
tables           : 3.6.1
tabulate         : 0.8.7
xarray           : 0.15.1
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : 0.50.0


</details>
