REGR: assert_index_equal raising with non matching pd.NA

[phofl]

• [ ] closes #xxxx (Replace xxxx with the Github issue number)
• [x] Tests added and passed if fixing a bug or adding a new feature
• [x] All code checks passed.
• [x] Added type annotations to new arguments/methods/functions.
• [x] Added an entry in the latest doc/source/whatsnew/vX.X.X.rst file if fixing a bug or adding a new feature.

I'd like to backport this (not necessarily to 1.5.0, 1.5.1 would be fine too). EAs in Index objects are new in 1.4, so this can be considered a regression.