BUG: missing deprecation warning about epoch timestamps in the index in to_json()

[jorisvandenbossche]

When we have a datetime64 column and writing to JSON, we get a warning about the default "epoch" date_format being deprecated.
However, when the datetime64 data is in the index, we don't get the warning, while we also get epoch values:

>>> df = pd.DataFrame({'A': [1, 2], 'B': [pd.Timestamp("2012-01-01"), pd.Timestamp("2012-01-02")]})
>>> df.to_json()
Pandas4Warning: The default 'epoch' date format is deprecated and will be removed in a future version, please use 'iso' date format instead.
'{"A":{"0":1,"1":2},"B":{"0":1325376000000,"1":1325462400000}}'

>>> df.set_index("B").to_json()    # <-- no warning
'{"A":{"1325376000000":1,"1325462400000":2}}'

Both cases work fine with date_format="iso":

>>> df.to_json(date_format="iso")
'{"A":{"0":1,"1":2},"B":{"0":"2012-01-01T00:00:00.000","1":"2012-01-02T00:00:00.000"}}'
>>> df.set_index("B").to_json(date_format="iso")
'{"A":{"2012-01-01T00:00:00.000":1,"2012-01-02T00:00:00.000":2}}'

But so if we want to be able to change to "iso" by default in 4.0 for both cases, we also have to warn now in both cases