BUG: numpy.split on non-UTC changes original time (#14042)
Root cause: When a DatetimeIndex is created by __array_wrap__,
round-trip of timezone occured

Solution: Remove the timezone of the original index when creating
a DatetimeIndex via __array_wrap__ and apply the timezone later

- [x] closes #14042
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
