### What changes were proposed in this pull request?
This PR fix the wrong behavior of `Index.difference` in pandas APIs on Spark, based on the comment https://github.com/databricks/koalas/pull/1325#discussion_r647889901 and https://github.com/databricks/koalas/pull/1325#discussion_r647890007
- it couldn't handle the case properly when `self` is `Index` or `MultiIndex` and `other` is `MultiIndex` or `Index`.
```python
>>> midx1 = ps.MultiIndex.from_tuples([('a', 'x', 1), ('b', 'z', 2), ('k', 'z', 3)])
>>> idx1 = ps.Index([1, 2, 3])
>>> midx1 = ps.MultiIndex.from_tuples([('a', 'x', 1), ('b', 'z', 2), ('k', 'z', 3)])
>>> midx1.difference(idx1)
pyspark.pandas.exceptions.PandasNotImplementedError: The method `pd.Index.__iter__()` is not implemented. If you want to collect your data as an NumPy array, use 'to_numpy()' instead.
```
- it's collecting the all data into the driver side when the other is list-like objects, especially when the `other` is distributed object such as Series which is very dangerous.
And added the related test cases.
### Why are the changes needed?
To correct the incompatible behavior with pandas, and to prevent the case which potentially cause the OOM easily.
```python
>>> midx1 = ps.MultiIndex.from_tuples([('a', 'x', 1), ('b', 'z', 2), ('k', 'z', 3)])
>>> idx1 = ps.Index([1, 2, 3])
>>> midx1 = ps.MultiIndex.from_tuples([('a', 'x', 1), ('b', 'z', 2), ('k', 'z', 3)])
>>> midx1.difference(idx1)
MultiIndex([('a', 'x', 1),
('b', 'z', 2),
('k', 'z', 3)],
)
```
And now it only using the for loop when the `other` is only the case `list`, `set` or `dict`.
### Does this PR introduce _any_ user-facing change?
Yes, the previous bug is fixed as described in the above code examples.
### How was this patch tested?
Manually tested with linter and unittest in local, and it might be passed on CI.
Closes#32853 from itholic/SPARK-35683.
Authored-by: itholic <haejoon.lee@databricks.com>
Signed-off-by: Hyukjin Kwon <gurwls223@apache.org>
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