Respect keep_attrs when using Dataset.set_index (#4955)

[gcaria]

• Closesset_index does not respect keep_attrs #4955
• Tests added
• Passes pre-commit run --all-files
• User visible changes (including notable bug fixes) are documented in whats-new.rst

The original issue was about DataArray.set_index, but since this simply calls Dataset.set_index, I have only added a test for the latter. DataArray.set_index probably deserves a test too, please let me know what you think.

[mathause]

#5957 seems to have snuck in - can you merge master?

[mathause]

I just saw that the merge_indexes function gets removed in #5692. So I am not sure it makes sense to fix this here?

@benbovy FYI.

[benbovy]

Thanks for pinging me @mathause. And sorry @gcaria I didn't see #4955 and this PR until now.

Indeed, there's no need for a fix considering that in #5692 variable attributes are now propagated properly through set_index and other operations on indexes (see 0086e32 and a891e22). Also, multi-index level coordinates become real coordinates so we don't need keep_attrs to handle the coordinate attributes, we can just propagate the attributes of each of the coordinates unambiguously.

[dcherian]

Shall we merge only the test then?

[benbovy]

I think I added tests for attributes in #5692, but I need to check.

[max-sixty]

Should we close?