BUG: MultiIndex.intersection duplicating nans in result
- [x] xref #38623
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

This also aligns the multiindex implementation with the base implementation a bit more.