Can it impossible to fill names parameter of concat() when keys is specified with Index/MultiIndex object?
Thanks for all developers,

I think it's useful and natural behaviour 
when `keys` parameter of concat() function is specified with Index or MultiIndex object, its `name` or `names` attribute is not taken over to the result DataFrame object.

``` python
>>> import pandas as pd
>>> a1 = pd.DataFrame([[110, 111], [120, 121]])
>>> a1.index.name = 'index_X'
>>> a2 = pd.DataFrame([[210, 211], [220, 221]])
>>> a2.index.name = 'index_X'
>>> b = pd.concat([a1, a2], keys=['a1', 'a2'], names=['index_Y'])
>>> b
                   0    1
index_Y index_X          
a1      0        110  111
        1        120  121
a2      0        210  211
        1        220  221
>>> b_index = pd.Index(['a1', 'a2'], name='index_Y')
>>> b = pd.concat([a1, a2], keys=b_index)
>>> b # name of b_index is not taken over!
              0    1
   index_X          
a1 0        110  111
   1        120  121
a2 0        210  211
   1        220  221
```

In such case, I think it's useful and natural behavior that the name of 1st level of the result indices is automatically set as `"index_Y"`.
Are there any probrems or difficulties if this change will be applied?
#### output of `pd.show_versions()`

```
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Linux
OS-release: 4.4.0-31-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.2
setuptools: 23.0.0
Cython: 0.24
numpy: 1.11.1
scipy: 0.17.1
statsmodels: 0.6.1
xarray: None
IPython: 4.2.0
sphinx: 1.4.1
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.4
blosc: None
bottleneck: 1.1.0
tables: 3.2.2
numexpr: 2.6.0
matplotlib: 1.5.1
openpyxl: 2.3.2
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.2
lxml: 3.6.0
bs4: 4.4.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.40.0
pandas_datareader: None
```
