BUG: set_index with passing key of first level of MI produces invalid result
I didn't find yet a small reproducible example, but with the actual (also small) data, I see the following problem:

```
In [47]: subjects_url = 'https://physionet.org/pn4/sleep-edfx/ST-subjects.xls'   
    ...: data = pd.read_excel(subjects_url, header=[0, 1])

In [48]: data.head()                                            
Out[48]: 
  Subject - age - sex           Placebo night            Temazepam night           
                   Nr Age M1/F2      night nr lights off        night nr lights off
0                   1  60     1             1   23:01:00               2   23:48:00
1                   2  35     2             2   23:27:00               1   00:00:00
2                   4  18     2             1   23:53:00               2   22:37:00
3                   5  32     2             2   23:23:00               1   23:34:00
4                   6  35     2             1   23:28:00               2   23:26:00
```

When doing a `set_index` with a key of the first level of the index (which I think is not supported), it actually gives a result, but an invalid one, which is illustrated by the repr that is erroring:

```
In [49]: res = data.set_index('Subject - age - sex')                       

In [50]: res                                         
Out[50]: ---------------------------------------------------------------------------
...
TypeError: unsupported format string passed to numpy.ndarray.__format__
```

The invalid part is that `res.index` seems to be an Int64Index, but is backed by a 2D array:

```
In [51]: res.index                                                     
Out[51]: 
Int64Index([ 1, 60,  1,  2, 35,  2,  4, 18,  2,  5, 32,  2,  6, 35,  2,  7, 51,
             2,  8, 66,  2,  9, 47,  1, 10, 20,  2, 11, 21,  2, 12, 21,  1, 13,
            22,  1, 14, 20,  1, 15, 66,  2, 16, 79,  2, 17, 48,  2, 18, 53,  2,
            19, 28,  2, 20, 24,  1, 21, 34,  2, 22, 56,  1, 24, 48,  2],
           dtype='int64', name='Subject - age - sex')

In [52]: res.index.values                                                  
Out[52]: 
array([[ 1, 60,  1],
       [ 2, 35,  2],
       [ 4, 18,  2],
       [ 5, 32,  2],
       [ 6, 35,  2],
       [ 7, 51,  2],
       [ 8, 66,  2],
       [ 9, 47,  1],
       [10, 20,  2],
       [11, 21,  2],
       [12, 21,  1],
       [13, 22,  1],
       [14, 20,  1],
       [15, 66,  2],
       [16, 79,  2],
       [17, 48,  2],
       [18, 53,  2],
       [19, 28,  2],
       [20, 24,  1],
       [21, 34,  2],
       [22, 56,  1],
       [24, 48,  2]])
```

Done with up to date master (0.24.dev)