Setting a MultiIndex after concat does not work properly
Consider this. It seems to work properly after sorting but not otherwise?

```
df = pandas.DataFrame([["A","a", 1.2],["A","b", 2.2],["B", "a", 1.1],["C", "a", 1.2]], columns=["var1","var2", "var3"])

df2 = pandas.DataFrame([["A","c", 1.2],["B", "c", 4.1],["C", "c", 2.2]], columns=["var1","var2", "var3"])

df3 = pandas.concat((df, df2))


df3.set_index(["var1","var2"])

df3.sort("var1").set_index(["var1","var2"])                                
```
