[MRG + 2] remove complicated equality checks in clone as __init__ shouldn't touch anything. (#5540)

* BF: issue 5522 (cloning objects with pandas.Dataframe attributes)

* super conservative fix, pending GP and VBGMM fixes.

* TST improved test for df param

* add deprecation warning, add whatsnew entry

* fixed place of deprecation warning, added test for deprecation warning.

* pep8

* fix whitespace error