.unique() drops names on MultiIndex

[toobaz]

Code Sample, a copy-pastable example if possible

In [2]: pd.Index([1,2,3], name='a').unique().name
Out[2]: 'a'

In [3]: pd.MultiIndex.from_arrays([[1,2], [1,2]], names=['a', 'b']).unique().names
Out[3]: FrozenList([None, None])

Problem description

unique preserve name for flat indexes, it should preserve names for MultiIndexes..

This causes #20308

Expected Output

In [3]: pd.MultiIndex.from_arrays([[1,2], [1,2]], names=['a', 'b']).unique().names
Out[3]: FrozenList(['a', 'b'])

Output of pd.show_versions()

INSTALLED VERSIONS

commit: None
python: 3.5.3.final.0
python-bits: 64
OS: Linux
OS-release: 4.9.0-6-amd64
machine: x86_64
processor:
byteorder: little
LC_ALL: None
LANG: it_IT.UTF-8
LOCALE: it_IT.UTF-8

pandas: 0.23.0.dev0+719.gf3c4cd670
pytest: 3.5.0
pip: 9.0.1
setuptools: 39.0.1
Cython: 0.25.2
numpy: 1.14.1
scipy: 0.19.0
pyarrow: None
xarray: None
IPython: 6.2.1
sphinx: 1.5.6
patsy: 0.5.0
dateutil: 2.7.0
pytz: 2017.2
blosc: None
bottleneck: 1.2.0dev
tables: 3.3.0
numexpr: 2.6.1
feather: 0.3.1
matplotlib: 2.0.0
openpyxl: 2.3.0
xlrd: 1.0.0
xlwt: 1.3.0
xlsxwriter: 0.9.6
lxml: 4.1.1
bs4: 4.5.3
html5lib: 0.999999999
sqlalchemy: 1.0.15
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: 0.2.1