BUG/PERF: Series(index=MultiIndex).rename losing EA dtypes

[lukemanley]

• closes BUG: Rename MultiIndex level destroys CategoricalIndex on other levels #21055
• Tests added and passed if fixing a bug or adding a new feature
• All code checks passed.
• Added type annotations to new arguments/methods/functions.
• Added an entry in the latest doc/source/whatsnew/v2.0.0.rst file if fixing a bug or adding a new feature.

Series(index=MultiIndex).rename loses EA dtypes:

import pandas as pd
import numpy as np

lev0 = pd.Index(np.arange(1000), dtype="Int64").astype("category")
lev1 = pd.Index(np.arange(1000), dtype="Int64")

mi = pd.MultiIndex.from_product([lev0, lev1], names=["A", "B"])
ser1 = pd.Series(1, index=mi)
ser2 = ser1.rename({10: 11}, level=1)

print(ser2.index.dtypes)

main:

A       int64
B       int64
dtype: object

PR:

A    category
B       Int64
dtype: object

Perf improves as well:

%timeit ser1.rename({10: 11}, level=1)

1.25 s ± 52.8 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)  -> main
350 ms ± 8.29 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)  -> PR

[mroeschke]

Thanks @lukemanley