merge indicator when columns is multiindex
#### Code Sample, a copy-pastable example if possible

```
import pandas as pd
import numpy as np

index=list(range(8))
columns=pd.MultiIndex.from_product([['alpha', 'beta',], ['C','D'],[1,2]], names=['first', 'second','third'])
df1=pd.DataFrame(index=index,columns=columns,data=np.random.rand(8,8))
df2=pd.DataFrame(index=index,columns=columns,data=np.random.rand(8,8))

pd.merge(df1,df2,left_index=True,right_index=True,indicator=True)
```

This gives `AttributeError: Can only use .cat accessor with a 'category' dtype`. If there are only two levels, the error happens in a different place: `AttributeError: 'numpy.ndarray' object has no attribute 'start'`
#### Expected Output

I think that this should put "_merge" in the first level and null in the other levels, but I don't know. Maybe it's ok to not have this functionality but just give a better error message (merge indicator not supported with multiindex columns).
#### output of `pd.show_versions()`
## INSTALLED VERSIONS

commit: None
python: 3.5.1.final.0
python-bits: 64
OS: Windows
OS-release: 7
machine: AMD64
processor: Intel64 Family 6 Model 61 Stepping 4, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None

pandas: 0.17.1
nose: 1.3.7
pip: 8.1.0
setuptools: 20.2.2
Cython: 0.23.4
numpy: 1.10.4
scipy: 0.17.0
statsmodels: 0.6.1
IPython: 4.0.0
sphinx: 1.3.1
patsy: 0.4.0
dateutil: 2.4.2
pytz: 2016.4
blosc: None
bottleneck: None
tables: None
numexpr: 2.4.4
matplotlib: 1.5.1
openpyxl: 2.2.6
xlrd: 0.9.4
xlwt: 1.0.0
xlsxwriter: None
lxml: 3.4.4
bs4: None
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: None
pymysql: None
psycopg2: None
Jinja2: 2.8
