Set multilevel index changes date to datetime in dataframe
```python
import datetime
import pandas as pd
values = [("a", datetime.date(2015,1,1), 30.),                                                                                                                                   
          ("a", datetime.date(2015,1,2), 25.)]                                                                                                                                   
columns = ["id", "date", "amount"]                                                                                                              
df = pd.DataFrame(values, columns=columns)                                                                                                                                                         
df_single = df.set_index("date")
df_multi = df.set_index(["id", "date"]) 
print(df_multi.index)
print(df_single.index)
```
#### Problem description
I have a pandasDataFrame containing a datetime.date column. When I set a multilevel index, the date column is converted to a datetime.datetime object, which does not happen when setting a single-level index.  I have [posted the question on SO ](http://stackoverflow.com/questions/42648763/set-multilevel-index-changes-date-to-datetime-in-pandas-dataframe), and I understand the answer. Still, I think this is an unexpected behavior.

#### Expected Output
The expected output is:

```python
print(df_multi.index) 
# MultiIndex(levels=[['a'], [2015-01-01, 2015-01-02]],
#         labels=[[0, 0], [0, 1]],
#         names=['id', 'date'])
```

#### Output of ``pd.show_versions()``

<details>
In [22]: pd.show_versions()

INSTALLED VERSIONS
------------------
commit: None
python: 3.6.0.final.0
python-bits: 64
OS: Linux
OS-release: 3.16.0-38-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: en_US.UTF-8
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.19.2
nose: 1.3.7
pip: 9.0.1
setuptools: 27.2.0
Cython: 0.25.2
numpy: 1.11.3
scipy: 0.18.1
statsmodels: 0.6.1
xarray: None
IPython: 5.1.0
sphinx: 1.5.1
patsy: 0.4.1
dateutil: 2.6.0
pytz: 2016.10
blosc: None
bottleneck: 1.2.0
tables: 3.3.0
numexpr: 2.6.1
matplotlib: 2.0.0
openpyxl: 2.4.1
xlrd: 1.0.0
xlwt: 1.2.0
xlsxwriter: 0.9.6
lxml: 3.7.2
bs4: 4.5.3
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.1.5
pymysql: None
psycopg2: 2.6.2 (dt dec pq3 ext lo64)
jinja2: 2.9.4
boto: 2.45.0
pandas_datareader: None
</details>
