[BUG] plot_series has side-effect on index name

[aiwalter]

Describe the bug
Function plot_series has side-effects as y forgets index name after calling plot_series. Probably it can be fixed by simply adding a y = y.copy() to the function.

To Reproduce

from sktime.datasets import load_airline
from sktime.utils.plotting import plot_series

y = load_airline()
y = y.to_frame()
y_name1 = y.index.name
plot_series(y)
y_name2 = y.index.name

assert y_name1 == y_name2

Expected behavior

Additional context

Versions
'0.15.0'

[GuiArcencio]

This might be a deeper problem than it looks. plot_series calls check_Y which in turn calls check_series, which has a allow_index_names parameter which defaults to False and is not changed. The issue seems to be that both check functions are not... functional. They both change their arguments as side-effects, instead of something like y = check_Y(y)