Add more tests for set_index and sort_values in distributed

Recent bugs/regression we found made me look into our test coverage for both methods In distributed context. I think we should add basic tests for both methods to test the important configs

I am not looking for anything fancy here, just making sure that the keywords are covered. We barely have tests for these 2 methods in distributed, so that should be relatively low hanging fruit to improve things fur the future.

merge seems to be covered pretty well now.

These 2 issues made me look at this:

- https://github.com/dask/dask/pull/10493
- https://github.com/dask/distributed/pull/8121

Edit: We should use no-default Indexes as well, that's what caused the current regression

cc @fjetter