PerformanceWarning on  _drop_axis()
#### Problem description
I have this script, that takes 3 csv files, with them I make two groupbys and two merges, the files are uploaded [here](https://github.com/pandas-dev/pandas/files/1744390/dfs.zip), and the code is as follows:

```python
import pandas as pd
import numpy as np

# Only needed if want to see the traceback
import warnings
warnings.filterwarnings('error',category=pd.io.pytables.PerformanceWarning)

df_weather = pd.read_csv(r'weather.csv', sep=';')
df_total = pd.read_csv(r'df_total.csv', sep=';',parse_dates=['DATA_EVENTO'])
df_agenda = pd.read_csv(r'agenda.csv',parse_dates=['Data'])

df_by_date = df_total.groupby('DATA_EVENTO')\
             .agg({'VALOR': [np.size, np.sum]}).reset_index()

event = df_by_date.merge(df_agenda,
                          left_on='DATA_EVENTO',
                          right_on='Data')


group_weather = df_weather.groupby('Data')\
                .agg({'Precipitacao': 'max',
                      'TempMaxima': ['max', 'mean'],
                      'TempMinima': ['min', 'mean'],
                      'Insolacao': ['max', 'mean']}).reset_index()
    

we_and_arts = event.merge(group_weather, left_on='Data',
                           right_on='Data',suffixes=('a', 'w'))
```
both df's index.nlevels returns 1
```python
event.index.nlevels
Out[16]: 1

group_weather.index.nlevels
Out[17]: 1
```
When setting filterwarnings to raise PerformanceWarnings (as explained in #3622 ) this is the traceback:

```python

  File "<ipython-input-3-bdf57e64aed5>", line 1, in <module>
    runfile('C:/Users/Daniel/Documents/wctba/yvy_issue.py', wdir='C:/Users/Daniel/Documents/wctba')

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\spyder\utils\site\sitecustomize.py", line 705, in runfile
    execfile(filename, namespace)

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\spyder\utils\site\sitecustomize.py", line 102, in execfile
    exec(compile(f.read(), filename, 'exec'), namespace)

  File "C:/Users/Daniel/Documents/wctba/yvy_issue.py", line 34, in <module>
    right_on='Data',suffixes=('a', 'w'))

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\pandas\core\frame.py", line 5370, in merge
    copy=copy, indicator=indicator, validate=validate)

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\pandas\core\reshape\merge.py", line 57, in merge
    validate=validate)

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\pandas\core\reshape\merge.py", line 565, in __init__
    self.join_names) = self._get_merge_keys()

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\pandas\core\reshape\merge.py", line 876, in _get_merge_keys
    self.right = self.right.drop(right_drop, axis=1)

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\pandas\core\generic.py", line 2530, in drop
    obj = obj._drop_axis(labels, axis, level=level, errors=errors)

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\pandas\core\generic.py", line 2562, in _drop_axis
    new_axis = axis.drop(labels, errors=errors)

  File "C:\Users\Daniel\Anaconda3\lib\site-packages\pandas\core\indexes\multi.py", line 1568, in drop
    stacklevel=3)

PerformanceWarning: dropping on a non-lexsorted multi-index without a level parameter may impact performance.
```
I don't understand why it says it's a multi-index, and I don't know how I could set the level parameter.
If it's normal behavior, why so? And how can I work around that?

Sorry in advance for not following the guidelines on new issues thoroughly.

<details>

[paste the output of ``pd.show_versions()`` here below this line]
INSTALLED VERSIONS
------------------
commit: None
python: 3.6.4.final.0
python-bits: 64
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 60 Stepping 3, GenuineIntel
byteorder: little
LC_ALL: None
LANG: pt_BR
LOCALE: None.None

pandas: 0.22.0
pytest: 3.3.2
pip: 9.0.1
setuptools: 38.4.0
Cython: 0.27.3
numpy: 1.14.0
scipy: 1.0.0
pyarrow: None
xarray: None
IPython: 6.2.1
sphinx: 1.6.6
patsy: 0.5.0
dateutil: 2.6.1
pytz: 2017.3
blosc: None
bottleneck: 1.2.1
tables: 3.4.2
numexpr: 2.6.4
feather: None
matplotlib: 2.1.2
openpyxl: 2.4.10
xlrd: 1.1.0
xlwt: 1.3.0
xlsxwriter: 1.0.2
lxml: 4.1.1
bs4: 4.6.0
html5lib: 1.0.1
sqlalchemy: 1.2.1
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None

</details>
