BUG: MultiIndex loses category after .stack() 
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [x] (optional) I have confirmed this bug exists on the master branch of pandas.

---

#### Code Sample, a copy-pastable example

```
import pandas as pd


columns = pd.MultiIndex.from_tuples(
    [('x', 1, 3), ('x', 2, 3), ('y', 1, 3), ('y', 2, 3)], names=['a', 'b', 'c'])
columns = columns.set_levels(
    [columns.levels[i].astype('category') for i in range(0, 2)], level=[0, 1])


df = pd.DataFrame([[1, 2, 3, 4]], columns=columns)
dtypes = df.columns.to_frame().dtypes

assert isinstance(dtypes.a, pd.CategoricalDtype)
assert isinstance(dtypes.b, pd.CategoricalDtype)


df2 = df.stack(['a', 'b'])
dtypes2 = df2.index.to_frame().dtypes

assert isinstance(dtypes2.a, pd.CategoricalDtype)
assert isinstance(dtypes2.b, pd.CategoricalDtype)  # broken
```

#### Problem description

Categorical types within a MultiIndex should be preserved after calling .stack().

#### Expected Output

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

<details>

INSTALLED VERSIONS
------------------
commit           : db08276bc116c438d3fdee492026f8223584c477
python           : 3.7.3.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.6.0
Version          : Darwin Kernel Version 19.6.0: Mon Aug 31 22:12:52 PDT 2020; root:xnu-6153.141.2~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.3
numpy            : 1.18.4
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.3
setuptools       : 40.8.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.16.1
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : 0.7.4
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.0
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.2
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
