TST GH 29699 multilevel column is called after multiple appends


- [ ] closes #29699
- [ ] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

Not sure where the best place to put the test is. 

Also, this code generates a warning which doesn't seem to disappear when following the guidance of the warning i.e: set `sort=False`. As the default behaviour is meant to return a warning this is tested for.
