MultiIndex.from_product converts datetime.date to pd.Timestamp
#### Code Sample, a copy-pastable example if possible

```python
import pandas as pd

a = pd.Timestamp("2019-2-2").date()
i = pd.MultiIndex.from_product([
    [a, a],
    [2, 3]
])

print("a={} ({}".format(a, type(a)))
print(i[0])

```

Output is : 

```
a=2019-02-02 (<class 'datetime.date'>
(Timestamp('2019-02-02 00:00:00'), 2)

```

#### Problem description

When using from_product with python datetimes, the resulting MultiIndex level is converted to pandas datetimes (Timestamps). There is no way to keep the original python datetime which I want. I got the same behavior with from_tuples. But it was not the case with from_arrays.

#### Expected Output

I expect the output to respect the type I gave to from_product : 

```
a=2019-02-02 (<class 'datetime.date'>
(datetime.date(2019, 2, 2), 2)

```



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

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.3.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 9, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None
pandas           : 0.25.1
numpy            : 1.17.0
pytz             : 2019.2
dateutil         : 2.8.0
pip              : 19.0.3
setuptools       : 40.8.0
Cython           : None
pytest           : 4.6.5
hypothesis       : None
sphinx           : 2.2.0
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.4.1
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.10.1
IPython          : 7.7.0
pandas_datareader: None
bs4              : 4.8.0
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.4.1
matplotlib       : 3.1.1
numexpr          : None
odfpy            : None
openpyxl         : 2.6.3
pandas_gbq       : None
pyarrow          : None
pytables         : None
s3fs             : None
scipy            : 1.3.1
sqlalchemy       : None
tables           : None
xarray           : None
xlrd             : 1.2.0
xlwt             : None
xlsxwriter       : None
</details>
