concat Series[sparse] converts sp_values to NaN
```python
In [1]: import pandas as pd

In [2]: s = pd.Series(pd.SparseArray([0, 1], fill_value=0))

In [3]: pd.concat([s, s], axis=1, keys=['a', 'b'])
Out[3]:
     a    b
0  NaN  NaN
1  1.0  1.0

```