Remove problematic call of index setter to unblock dask-cuda CI (#15844)

Lighter weight alternative to #15843 to unblock dask-cuda's breakage.

Authors:
  - Charles Blackmon-Luca (https://github.com/charlesbluca)
  - Vyas Ramasubramani (https://github.com/vyasr)

Approvers:
  - Matthew Roeschke (https://github.com/mroeschke)
  - Vyas Ramasubramani (https://github.com/vyasr)

URL: #15844

python/cudf/cudf/core/indexed_frame.py

@@ -350,7 +350,8 @@ def _from_columns_like_self(
         frame = self.__class__._from_data(data)
 
         if index is not None:
-            frame.index = index
+            # TODO: triage why using the setter here breaks dask_cuda.ProxifyHostFile
+            frame._index = index
         return frame._copy_type_metadata(
             self,
             include_index=bool(index_names),