ENH: Add sort parameter to other set operations if possible

[reidy-p]

As part of #22811 I added a sort parameter to the difference set operation with a default of True. The other set operations do not have this parameter but some of them sort by default if possible. Should we add a sort parameter to the other set operations too if possible for consistency?

TODO:

• 0.24.0 DateTimeIndex: union() got an unexpected keyword argument 'sort' 0.24.0 DateTimeIndex: union() got an unexpected keyword argument 'sort' #24994
• TimedeltaIndex.intersection has no sort option. TimedeltaIndex.intersection has no sort option. #24966
• Check if we can implement the sort parameter for RangeIndex.union (ENH: Add sort parameter to RangeIndex.union (#24471) #25788)
• Decide the sort behaviour when the two Indexes are equal or one of the two Indexes are empty
• Review all set operation tests and ensure that all corner cases are being tested and that sort behaviour is actually being tested (e.g., pass Indexes that are not already sorted to tests)
• Implement sort=True and deprecate sort=None in future release?

[jreback]

yes sort=True (default for compat) should be added to all set operations

[reidy-p]

Related issues: #17839, #17010, #17378, #17376, #22466

[reidy-p]

@fdroessler As discussed, if you see any other things we need to do to make the implementation of the sort parameter for set operations consistent describe it in a comment below and I'll add it to the TODO in the top comment in this issue. I'm currently working on implementing sort for RangeIndex.union