BUG: loc/ix indexers with empty list key lose names of respective axes
This issue was encountered when fixing #6536. It seems that `.loc` indexer with empty list key seems to lose names of respective axes:

``` python

In [2]: pd.DataFrame(np.arange(9).reshape(3,3), columns=pd.Series(list('abc'), name='foobar'))
Out[2]: 
foobar  a  b  c
0       0  1  2
1       3  4  5
2       6  7  8

[3 rows x 3 columns]

In [3]: _2.iloc[:,[]]
Out[3]: 
Empty DataFrame
Columns: []
Index: [0, 1, 2]

[3 rows x 0 columns]

In [4]: _2.iloc[:,[]].columns.names
Out[4]: FrozenList([u'foobar'])

In [5]: _2.loc[:,[]].columns.names
Out[5]: FrozenList([None])

```

It's not important, but currently #6551 has two tests skipped because of this bug.
