BUG: Fix MultiIndex names handling in pd.concat
This is a fix attempt for issue #15787.

The discrepancy between definition and corresponding implementation of so-called non-none names in function _get_consensus_names leads to this bug.

 - [x] closes #15787 
 - [x] tests added / passed
 - [ ] passes ``git diff upstream/master --name-only -- '*.py' | flake8 --diff``
 - [x] whatsnew entry
