BUG: Styler.set_sticky(axis="columns") does not work properly with Multi-Index Rows
- [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.

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


---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

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

```python
df.style.set_sticky(axis="columns")

```

#### Problem description

When "sticking" columns in a DataFrame as shown above it does not work correctly if the DataFrame has an Multi-index.  If the DataFrame has only a single index field then it works correctly.  When a Multi-Index or hierarchical index is used, the index columns stick, but the other column headers disappear.

#### Expected Output

That all columns headings, both for index and non-index columns should be visible when scrolling down the DataFame.

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

<details>

INSTALLED VERSIONS
------------------
commit           : f00ed8f47020034e752baf0250483053340971b0
python           : 3.9.6.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.19043
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 12, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : English_Canada.1252

pandas           : 1.3.0
numpy            : 1.21.0
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.1.3
setuptools       : 49.6.0.post20210108
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 3.0.1
IPython          : 7.22.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : 3.0.7
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>
