What happened?

A call to open_mfdataset with parallel=true fails when using a dask delayed client with newer version of cftime and xarray. This happens with cftime==1.5.2 and xarray==0.20.2 but not cftime==1.5.1 and xarray==0.20.2.

What did you expect to happen?

I expected the call to open_mfdataset to work without error with parallel=True as it does with parallel=False and a previous version of cftime

Minimal Complete Verifiable Example

```python import xarray as xr import numpy as np from dask.distributed import Client

Need a main routine for dask.distributed if run as script

if name == "main":

client = Client(n_workers=1)

t = xr.cftime_range('20010101','20010501', closed='left', calendar='noleap')
x = np.arange(100)
v = np.random.random((t.size,x.size))

da = xr.DataArray(v, coords=[('time',t), ('x',x)])
da.to_netcdf('sample.nc')

# Works
xr.open_mfdataset('sample.nc', parallel=False)

# Throws TypeError exception
xr.open_mfdataset('sample.nc', parallel=True)

```

Relevant log output

python distributed.protocol.core - CRITICAL - Failed to deserialize [32/525] Traceback (most recent call last): File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/core.py", line 111, in loads return msgpack.loads( File "msgpack/_unpacker.pyx", line 194, in msgpack._cmsgpack.unpackb File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/core.py", line 103, in _decode_default return merge_and_deserialize( File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/serialize.py", line 488, in merge_and_deserialize return deserialize(header, merged_frames, deserializers=deserializers) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/serialize.py", line 417, in deserialize return loads(header, frames) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/serialize.py", line 96, in pickle_loads return pickle.loads(x, buffers=new) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/pickle.py", line 75, in loads return pickle.loads(x) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/pandas/core/indexes/base.py", line 255, in _new_Index return cls.__new__(cls, **d) TypeError: __new__() got an unexpected keyword argument 'dtype' Traceback (most recent call last): File "/g/data/v45/aph502/notebooks/test_pickle.py", line 21, in <module> xr.open_mfdataset('sample.nc', parallel=True) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/xarray/backends/api.py", line 916, in open_mfdataset datasets, closers = dask.compute(datasets, closers) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/dask/base.py", line 571, in compute results = schedule(dsk, keys, **kwargs) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/client.py", line 2746, in get results = self.gather(packed, asynchronous=asynchronous, direct=direct) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/client.py", line 1946, in gather return self.sync( File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/utils.py", line 310, in sync return sync( File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/utils.py", line 364, in sync raise exc.with_traceback(tb) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/utils.py", line 349, in f result[0] = yield future File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/tornado/gen.py", line 762, in run value = future.result() File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/client.py", line 1840, in _gather response = await future File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/client.py", line 1891, in _gather_remote response = await retry_operation(self.scheduler.gather, keys=keys) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/utils_comm.py", line 385, in retry_operation return await retry( File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/utils_comm.py", line 370, in retry return await coro() File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/core.py", line 900, in send_recv_from_rpc return await send_recv(comm=comm, op=key, **kwargs) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/core.py", line 669, in send_recv response = await comm.read(deserializers=deserializers) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/comm/tcp.py", line 232, in read msg = await from_frames( File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/comm/utils.py", line 78, in from_frames res = _from_frames() File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/comm/utils.py", line 61, in _from_frames return protocol.loads( File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/core.py", line 111, in loads return msgpack.loads( File "msgpack/_unpacker.pyx", line 194, in msgpack._cmsgpack.unpackb File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/core.py", line 103, in _decode_default return merge_and_deserialize( File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/serialize.py", line 488, in merge_and_deserialize return deserialize(header, merged_frames, deserializers=deserializers) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/serialize.py", line 417, in deserialize return loads(header, frames) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/serialize.py", line 96, in pickle_loads return pickle.loads(x) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/distributed/protocol/pickle.py", line 75, in loads return pickle.loads(x) File "/g/data3/hh5/public/apps/miniconda3/envs/analysis3-22.01/lib/python3.9/site-packages/pandas/core/indexes/base.py", line 255, in _new_Index return cls.__new__(cls, **d) TypeError: __new__() got an unexpected keyword argument 'dtype'

Anything else we need to know?

It seems similar to previous issues with pickling https://github.com/pydata/xarray/issues/5686 which was fixed in cftime https://github.com/Unidata/cftime/pull/252 but the tests in previous issues still work, so it isn't exactly the same.

Environment

```

INSTALLED VERSIONS

commit: None python: 3.9.9 | packaged by conda-forge | (main, Dec 20 2021, 02:41:03) [GCC 9.4.0] python-bits: 64 OS: Linux OS-release: 4.18.0-348.2.1.el8.nci.x86_64 machine: x86_64 processor: x86_64 byteorder: little LC_ALL: en_AU.utf8 LANG: en_AU.ISO8859-1 LOCALE: ('en_US', 'UTF-8') libhdf5: 1.10.6 libnetcdf: 4.7.4

xarray: 0.20.2 pandas: 1.4.0 numpy: 1.22.1 scipy: 1.7.3 netCDF4: 1.5.6 pydap: installed h5netcdf: 0.13.1 h5py: 3.6.0 Nio: None zarr: 2.10.3 cftime: 1.5.2 nc_time_axis: 1.4.0 PseudoNetCDF: None rasterio: 1.2.6 cfgrib: 0.9.9.1 iris: 3.1.0 bottleneck: 1.3.2 dask: 2022.01.0 distributed: 2022.01.0 matplotlib: 3.5.1 cartopy: 0.19.0.post1 seaborn: 0.11.2 numbagg: None fsspec: 2022.01.0 cupy: 10.1.0 pint: 0.18 sparse: 0.13.0 setuptools: 59.8.0 pip: 21.3.1 conda: 4.11.0 pytest: 6.2.5 IPython: 8.0.1 sphinx: 4.4.0 ```