index not a consistent behavior after dataframe slicing
After selection DataFrame leave in the new DataFrame the labels set from original one, include those that not selected (see 185 & 186 vs 187 & 188 - the value 3 shouldn't be in the levels sets):

In [179]: tdf = pd.DataFrame([[1,1,1],[2,2,2],[3,3,3]])

In [180]: tdf.set_index([0,1], inplace=True)

In [181]: tdf
Out[181]: 
     2
0 1  
1 1  1
2 2  2
3 3  3

In [182]: tdf12 = tdf.loc[1:2]

In [183]: tdf12
Out[183]: 
     2
0 1  
1 1  1
2 2  2

In [184]: tdf12.index
Out[184]: 
MultiIndex
[(1, 1), (2, 2)]

In [185]: tdf12.index.levels[0]
Out[185]: Int64Index([1, 2, 3], dtype=int64)

In [186]: tdf12.index.levels[1]
Out[186]: Int64Index([1, 2, 3], dtype=int64)

In [187]: tdf12.index.get_level_values(0)
Out[187]: Int64Index([1, 2], dtype=int64)

In [188]: tdf12.index.get_level_values(1)
Out[188]: Int64Index([1, 2], dtype=int64)

In [189]: tdf12.index.labels
Out[189]: [array([0, 1]), array([0, 1])]
