Avoid unnecessary Index cast in IndexedFrame.index setter (#15843)

Triaging recent dask-cuda [breakage](https://github.com/rapidsai/dask-cuda/actions/runs/9202583065/attempts/1) led me to #15781, where it seems like the passing of an index object directly to the `IndexedFrame.index` setter (and therefore, wrapping of this index in an `Index()` constructor) has caused proxifying issues on dask-cuda's end.

cc @rjzamora @mroeschke

Authors:
  - Charles Blackmon-Luca (https://github.com/charlesbluca)
  - Matthew Roeschke (https://github.com/mroeschke)

Approvers:
  - Matthew Roeschke (https://github.com/mroeschke)

URL: #15843

python/cudf/cudf/core/indexed_frame.py

@@ -644,7 +644,11 @@ def index(self, value):
                 f"Length mismatch: Expected axis has {old_length} elements, "
                 f"new values have {len(value)} elements"
             )
-        self._index = Index(value)
+        # avoid unnecessary cast to Index
+        if not isinstance(value, BaseIndex):
+            value = Index(value)
+
+        self._index = value
 
     @_cudf_nvtx_annotate
     def replace(

python/cudf/cudf/tests/test_index.py

@@ -3266,3 +3266,17 @@ def test_index_datetime_repeat():
     actual = gidx.to_frame().repeat(5)
 
     assert_eq(actual.index, expected)
+
+
+@pytest.mark.parametrize(
+    "index",
+    [
+        cudf.Index([1]),
+        cudf.RangeIndex(1),
+        cudf.MultiIndex(levels=[[0]], codes=[[0]]),
+    ],
+)
+def test_index_assignment_no_shallow_copy(index):
+    df = cudf.DataFrame(range(1))
+    df.index = index
+    assert df.index is index