[BUG] Concat `Index` behavior diverts from `pandas`
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bug
Python
- Dominant language
- C++
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Description
As @wence- points out here https://github.com/rapidsai/cudf/pull/15623#discussion_r1586054947
We allow concatenating indexes whilst `pandas` does not.
Do we like this difference in behavior? Do we want parity? Would users be upset if we changed this behavior?
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