DateTimeIndex.to_frame() drops timezone in pandas 0.24
Behavior in pandas 0.23:
```python
>>> import pandas as pd
>>> pd.__version__
0.23.0
>>> x = pd.date_range(start='2019-01-01', end='2019-01-30', freq='D')
>>> x = x.tz_localize('UTC')
>>> x.to_frame().dtypes
0    datetime64[ns, UTC]
dtype: object
```

Behavior in pandas 0.24

```python
>>> import pandas as pd
>>> pd.__version__
0.24.2
>>> x = pd.date_range(start='2019-01-01', end='2019-01-30', freq='D')
>>> x = x.tz_localize('UTC')
>>> x.to_frame().dtypes
0    datetime64[ns]
dtype: object
```