Fix incorrect DTI/TDI indexing; warn before dropping tzinfo
Slight hodge-podge.  

#21333 is about `to_period` method on DatetimeIndex silently dropping timezone info.  This PR makes `DatetimeIndex.to_period` and `Timestamp.to_period` issue a warning when losing timezone info.

#20464 is entirely unrelated, notes that `pd.date_range('1970-01-01', period=2).get_loc(pd.Timedelta(0))` returns `0` instead of raising; ditto for indexing a TDI with a Timestamp.

- [x] closes #21333
- [x] closes #20464
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
