DataFrame.append can lose index name
from mailing list

```
import pandas
import numpy as np
import pandas
print pandas.__version__
0.7.2.dev-12d511f


df1 = pandas.DataFrame(data=None, columns=['A','B','C'])
df1 = df1.set_index(['A'])
df2 = pandas.DataFrame(data=[[1,4,7],[2,5,8],[3,6,9]],
columns=['A','B','C'])
df2 = df2.set_index(['A'])
print df1.append(df2).index.names

[None]
```
