Unexpected interaction in DataFrame.apply(f) when `f` returns a list
#### Code Sample, a copy-pastable example if possible

```python
df = pd.DataFrame({'x': pd.Series([['a', 'b'], ['q']]),
                   'y': pd.Series([['z'], ['q', 't']])})
df.index = pd.MultiIndex.from_tuples([('i0', 'j0'), ('i1', 'j1')])

df.apply(lambda row: [el for el in row['x'] if el in row['y']], axis=1)
```
#### Problem description

When a `DataFrame` has a `MultiIndex`, and the function passed to `DataFrame.apply` returns all `list`s, weird stuff happens and an unintelligible error occurs.

What ends up happening is that the result somehow gets coerced to a list of arrays (not sure where or why the list->array conversion happens), and then submitted to `DataFrame.__init__`, which tries to massage it that into a DataFrame, and fails.

Resulting error: `ValueError: Empty data passed with indices specified.`, emitted from deep within the bowels of `pandas/core/internals.py`, specifically  `create_block_manager_from_arrays`.

This happens regardless of what the `reduce=` argument is set to.

#### Expected Output

Don't try to manipulate the output. Return a `Series` of `list`s.

In the example above, that'd be:

```python
pd.Series([[], ['q']], index=df.index)
```

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

```
INSTALLED VERSIONS
------------------
commit: None
python: 3.6.3.final.0
python-bits: 64
OS: Linux
OS-release: 3.10.0-514.26.2.el7.x86_64
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.21.1
pytest: None
pip: 9.0.1
setuptools: 36.6.0
Cython: None
numpy: 1.12.1
scipy: 0.19.1
pyarrow: None
xarray: None
IPython: 6.2.1
sphinx: None
patsy: None
dateutil: 2.6.1
pytz: 2017.3
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 2.0.2
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: 0.9999999
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: None
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
```
