CLN: Address MulitIndex Test Follow Ups in Issue #21918
- [x] closes #21918
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry - N/A

Addresses most of the issues.  Left blowing away the old pickles for another issue which is still open.  