BUG: Categorical dtype in MultiIndex levels is lost during set operations (difference, union, intersection,...)
- [X] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the latest version of pandas.

- [X] (optional) I have confirmed this bug exists on the master branch of pandas.

---
Coming from [here](https://github.com/pandas-dev/pandas/issues/13432#issuecomment-786604695), I tried my issue on current HEAD@master and the erroneous behaviour still persists. 

#### Code Sample, a copy-pastable example

```python
import pandas as pd

cat = pd.CategoricalDtype(categories=[1, 2, 3, 4])
df = pd.DataFrame({'a': [1, 2, 3, 4, 3, 2, 1], 'b': [4, 3, 2, 3, 1, 2, 3]}, dtype=cat)

# flat categorical index, no MultiIndex
df_cat = df.set_index('a', drop=False)

diff_ind = df_cat.index.difference(df_cat.head(3).index)
print(diff_ind.dtype)  # -> category

union_ind = df_cat.index.union(df_cat.head(3).index)
print(union_ind.dtype)  # -> category


# same set operations on MultiIndex, categorical gets lost
df_cat_multi = df.set_index(['a', 'b'], drop=False)
# just make sure, we have a categorical in the first place
print(df_cat_multi.index.get_level_values(0).dtype)  # -> category
print(df_cat_multi.index.get_level_values(1).dtype)  # -> category

diff_multi_ind = df_cat_multi.index.difference(df_cat_multi.head(3).index)
print(diff_multi_ind.get_level_values(0).dtype)  # -> int64
print(diff_multi_ind.get_level_values(1).dtype)  # -> int64

union_multi_ind = df_cat_multi.index.union(df_cat_multi.head(3).index)
print(union_multi_ind.get_level_values(0).dtype)  # -> int64
print(union_multi_ind.get_level_values(1).dtype)  # -> int64
```

#### Problem description
In contrast to set operations involving flat categorical indices, the same operations on multi-indices with categorical level values revert the result back to the underlying datatype.

#### Expected Output
 The set-operations on multi-indices should preserve the categorical dtype of level values.

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

<details>

INSTALLED VERSIONS
------------------
commit           : ab687aec38668cdb0139ca02d6e37e8c8386ae7d
python           : 3.8.6.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.19041
machine          : AMD64
processor        : Intel64 Family 6 Model 94 Stepping 3, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : de_DE.cp1252

pandas           : 1.3.0.dev0+849.gab687aec38
numpy            : 1.19.5
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.0.1
setuptools       : 53.1.0
Cython           : 0.29.22
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
