If you're only getting these to manually pass into df.set_index(), that's unnecessary. Just directly do df.set_index['your_col_name', drop=False], already.
It's very rare in pandas that you need to get an index as a Python list (unless you're doing something pretty funky, or else passing them back to NumPy), so if you're doing this a lot, it's a code smell that you're doing something wrong.