CLN: Remove uses of Index._data

[TomAugspurger]

The type of Index._data is inconsistent across Index subclasses

class	output
Index	ndarray
PeriodIndex	ndarray[int] (ordinals)
DatetimeIndex	DatetimeIndex (?)
DatetimeIndex[tz]	ndarray[datetime64[ns]]
CategoricalIndex	Categorical
IntervalIndex	None

We should replace uses of ._data with ._values or ._ndarray_values, which have more consistent behavior.

I don't think we can remove ._data entirely though. It's used for quickly setting values in some places. Haven't looked too closely though.

[jorisvandenbossche]

I suppose that, once we have Array classes for all our own extension types, those _data attributes in principle (with some refactoring to get there) should be those arrays? And then, it should be the same as _values

[jbrockmendel]

actionable/closeable? Now that we use _mgr instead of _data for BlockManager, foo._data is much less ambiguous

[mroeschke]

Agreed, the use of _mgr should make this more consistent now. Closing but happy to reopen if that's not the case