BUG: set_levels with a change in timezone on a MultiIndex with DST is buggy
from [SO](http://stackoverflow.com/questions/26660286/dealing-with-dst-time-with-set-levels-function-multiindex-pandas)

```
In [91]: def works(df):
   ....:     return df.reset_index(level=1,drop=True).set_index(df.index.get_level_values(1).tz_localize('Europe/Paris', ambiguous = 'infer'),append=True).iloc[7151:7160]
   ....: 

In [92]: def breaks(df):
   ....:     return df.set_index(df.index.set_levels(df.index.get_level_values(1).tz_localize('Europe/Paris', ambiguous = 'infer'),level=1)).iloc[7151:7160]
   ....: 

In [93]: array = [('s001', d) for d in pd.date_range(start='01/01/2014', end='01/01/2015', freq='H')] + [('s002', d) for d in pd.date_range(start='01/01/2014', end='01/01/2015', freq='H')]

In [94]: index = pd.MultiIndex.from_tuples(array, names=['sce', 'DATES'])

In [95]: df = pd.DataFrame(np.random.randn(len(index)), index=index)

In [96]: df = df.append(df.query('DATES == "26/10/2014 02:00:00"'))

In [97]: df = df.query('DATES <> "30/03/2014 02:00:00"')

In [98]: df = df.sort()

In [99]: works(df)
Out[99]: 
                                       0
sce  DATES                              
s001 2014-10-26 00:00:00+02:00 -0.833819
     2014-10-26 01:00:00+02:00 -1.190427
     2014-10-26 02:00:00+02:00 -1.210017
     2014-10-26 02:00:00+01:00 -1.210017
     2014-10-26 03:00:00+01:00  0.763599
     2014-10-26 04:00:00+01:00 -1.055695
     2014-10-26 05:00:00+01:00 -0.912766
     2014-10-26 06:00:00+01:00  0.373625
     2014-10-26 07:00:00+01:00  0.631287

In [100]: breaks(df)
Out[100]: 
                                       0
sce  DATES                              
s001 2014-10-26 01:00:00+02:00 -0.833819
     2014-10-26 02:00:00+02:00 -1.190427
     2014-10-26 02:00:00+01:00 -1.210017
     2014-10-26 02:00:00+01:00 -1.210017
     2014-10-26 03:00:00+01:00  0.763599
     2014-10-26 04:00:00+01:00 -1.055695
     2014-10-26 05:00:00+01:00 -0.912766
     2014-10-26 06:00:00+01:00  0.373625
     2014-10-26 07:00:00+01:00  0.631287
```
