Cannot `remove_unused_categories` for CategoricalIndex in a MultiIndex
I'm working to add a `CategoricalIndex` support in xarray (pydata/xarray#3647, pydata/xarray#3670), but have a trouble.

#### Code Sample, a copy-pastable example if possible

```python
In [39]: cat = pd.CategoricalDtype(categories=['foo', 'bar', 'baz']) 
    ...: i1 = pd.Series(['foo', 'bar'], dtype=cat) 
    ...: i2 = pd.Series(['bar', 'bar'], dtype=cat) 
    ...: df = pd.DataFrame({'i1': i1, 'i2': i2, 'values': [1, 2]}) 

In [40]: df1 = df.set_index('i1')                                               
In [42]: df1.index                                                              
Out[42]: CategoricalIndex(['foo', 'bar'], 
        categories=['foo', 'bar', 'baz'], ordered=False, name='i1', dtype='category')

# remove_unused_categories() is working
In [43]: df1.index.remove_unused_categories()                                   
Out[43]: CategoricalIndex(['foo', 'bar'], 
        categories=['foo', 'bar'], ordered=False, name='i1', dtype='category')

In [44]: df2 = df.set_index(['i1', 'i2'])                                       
In [45]: df2.index                                                              
Out[45]: 
MultiIndex([('foo', 'bar'),
            ('bar', 'bar')],
           names=['i1', 'i2'])

# remove_unused_categories() is NOT working
In [47]: df2.index.levels[0].remove_unused_categories()                         
Out[47]: CategoricalIndex(['foo', 'bar', 'baz'], 
        categories=['foo', 'bar', 'baz'], ordered=False, name='i1', dtype='category')  # <-- `baz` is not removed.
```
#### Problem description

When `CategoricalIndex` is a level variable of MultiIndex, `remove_unused_categories` does not work.

#### Expected Output
```python
Out[43]: CategoricalIndex(['foo', 'bar'], categories=['foo', 'bar'], ordered=False, name='i1', dtype='category')
```

#### Output of ``pd.show_versions()``

<details>
In [48]: pd.show_versions()                                                    

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.5.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.15.0-1066-oem
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 0.25.3
numpy            : 1.17.4
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 19.3.1
setuptools       : 42.0.2.post20191203
Cython           : None
pytest           : 5.3.2
hypothesis       : 4.54.2
sphinx           : 2.3.0
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.10.3
IPython          : 7.10.2
pandas_datareader: None
bs4              : None
bottleneck       : 1.3.1
fastparquet      : None
gcsfs            : None
lxml.etree       : None
matplotlib       : 3.1.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
s3fs             : None
scipy            : 1.3.2
sqlalchemy       : None
tables           : None
xarray           : 0.14.1
xlrd             : 1.2.0
xlwt             : None
xlsxwriter       : None

</details>
