BUG: set_index works wrong with multiindex

[anmyachev]

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Reproducible Example

import modin.pandas as pd
import numpy as np

import pdb;pdb.set_trace()
df = pd.DataFrame(np.ones([2,4]),columns = [['a','b','c','d'],['','','x','y']])

print(df.set_index('a'))
print(df._to_pandas().set_index('a'))

Issue Description

Wrong output from the first print:

          a    b    c    d
                    x    y
(d, y)
1.0     1.0  1.0  1.0  1.0
1.0     1.0  1.0  1.0  1.0

Expected Behavior

Expected output (from the second print):

       b    c    d
            x    y
a
1.0  1.0  1.0  1.0
1.0  1.0  1.0  1.0

Error Logs

Replace this line with the error backtrace (if applicable).

Installed Versions

Replace this line with the output of pd.show_versions()