Strange behaviour when setting columns to a DataFrame
Not sure if this is a bug, but seems like weird behaviour.... it came up on [SO](http://stackoverflow.com/q/29997115/1240268).

```
In [11]: d = {"a": pd.DataFrame([[1], [2]], index=[0, 2], columns=['Z']),
              "b": pd.DataFrame([[3], [4]], index=[0, 2], columns=['Z'])}

In [12]: pd.concat(d).unstack(0)  # expected?
Out[12]:
   Z
   a  b
0  1  3
2  2  4

In [13]: t = pd.DataFrame()

In [14]: for name, df in d.items():
             t[name] = df

In [15]: t
Out[15]:
    a   b
0   1   3
1 NaN NaN
```
