Raise ValueError when using levels with non-unique values in MultiIndex constructor
- [x] closes #17464
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

`verify_integrity` now also checks if any level has non-unique values and raises `ValueError` if one does.

However, some tests were broken due to this new behaviour.
I'd like to know what should I do in this case, should I add `verify_integrity=False` to those tests, change them, or do something else?

Also, how should I state this in the whatsnew file and where?

Thank you for your time! 🐼 🐍 