API: concat of frames with multi-index with non-matching names
Suppose you have two dataframes with multi-index with non-matching names. When you `concat` these, the name of the first index will be used, and the indices are just merged ignoring the names of the levels.

Small example:

```
In [41]: df1 = pd.DataFrame([[1,2], [3,4]], index=pd.MultiIndex.from_tuples([('a', 1), ('a', 2)], names=['A', 'B']))
In [42]: df2 = pd.DataFrame([[5,6], [7,8]], index=pd.MultiIndex.from_tuples([(1, 'b'), (2, 'b')], names=['B', 'A']))

In [43]: df1
Out[43]:
     0  1
A B
a 1  1  2
  2  3  4

In [44]: df2
Out[44]:
     0  1
B A
1 b  5  6
2 b  7  8

In [45]: pd.concat([df1, df2])
Out[45]:
     0  1
A B
a 1  1  2
  2  3  4
1 b  5  6
2 b  7  8
```

This of course stems from the fact that index (level) names are not 'real' labels like eg column names, but following the aligning logic in pandas for index labels, this can give a bit unexpected results.
