concat over MultiIndex does not hierarchify further
```
df2
Out[62]: 
          A   B      C       D       
level1a 0 foo one   -0.3364 -1.212780
        1 bar one    1.5044  0.832076
level1b 2 foo two    0.1210 -0.547690
        3 bar three -0.6163  0.948797
level1c 4 foo two    0.4783 -1.295089
        5 bar two   -0.6558 -1.515122
level1d 6 foo one   -1.1923 -0.884387
        7 foo three -0.6004  0.003952

pd.concat([df2[0:4], df2[4:8]], keys=['level0a', 'level0b'])
Out[66]: 
                  A   B      C       D       
level0a level1a 0 foo one   -0.3364 -1.212780
                1 bar one    1.5044  0.832076
level0a level1b 2 foo two    0.1210 -0.547690
                3 bar three -0.6163  0.948797
level0b level1c 4 foo two    0.4783 -1.295089
                5 bar two   -0.6558 -1.515122
level0b level1d 6 foo one   -1.1923 -0.884387
                7 foo three -0.6004  0.003952
```

While I would expect that there are only one of level0a and level0b at the first level.
