In theory we support subclassing Index, but that support is spotty (xref #15258, #37882). Now that we allow arbitrary EAs in Index, we should deprecate that and direct downstream libraries to use EAs instead.
xref https://github.com/pydata/xarray/issues/6129
Comment From: rhshadrach
For this deprecation, is this merely a docs change or would we be actively stopping users from subclassing Index?
Comment From: jbrockmendel
I think just a docs change