API: SQL legacy mode to_sql 'index' kwarg behaviour
A leftover from #6735. In this PR, multi-index support was added to the new `to_sql` and `read_table` functions based on sqlalchemy. However, I did not change anything in the legacy `to_sql` functions. 

This has the following consequences for the `index` handling in legacy mode (https://github.com/pydata/pandas/blob/18bd0d64bf1fcdc7e86e743332dab29e9a155909/pandas/io/sql.py#L808):
- no multi-index support: so depending on the `con` type (dbapi connection or sqlalchemy connection), writing a multi-index dataframe will work or generate an error.
- before, in 0.13.1 and before, there was actually no support for writing the index (it was just not written), so this is actually an **API change** for the legacy mode (because now writing the index is set to True by default), for `write_frame` (as `to_sql` did not yet exist)

We could also opt to remove this entirely from the legacy mode (leave it as it was). However this is also somewhat complicated, as it is not easy to detect when the `index` keyword is specified by the user in legacy mode (in order to warn that this is ignored), as it is set to True by default. But it seems to me that we should either support it fully (with multi-index as for sqlalchemy based), or not.

But maybe more in general: how do we see the 'legacy'? Just keep it for backwards compatibility? Or is it useful to have something that is not dependent on sqlalchemy? (so also enhance it? or only bug fixes?)

@hayd @mangecoeur @danielballan
