Avoid auto creation of indexes in concat #12566

Job	Run time
detect ci trigger	5s
Event File	2s
ubuntu-latest py3.9	7m 31s
ubuntu-latest py3.12	8m 58s
macos-latest py3.9	5m 51s
macos-latest py3.12	6m 3s
windows-latest py3.9	14m 30s
windows-latest py3.12	17m 15s
ubuntu-latest py3.9 bare-minimum	1m 30s
ubuntu-latest py3.9 min-all-deps	6m 7s
ubuntu-latest py3.11 all-but-dask	6m 7s
ubuntu-latest py3.12 flaky	1m 59s
	1h 15m 58s

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