BUG: Should not raise errors in .set_names for MultiIndex with nlevels == 1 (GH21149)
- [x] partially #21149 
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Initial PR #21182 is closed - and now split in 2 different PRs