to_html fails for MultiIndexes with empty strings and display.multi_sparse == False

Piggybacking off of #3547.

``` python
import pandas as pd
from nose.tools import assert_raises
pd.set_option('display.multi_sparse', False)
df = pd.DataFrame({'c1': ['a', 'b'], 'c2': ['a', ''], 'data': [1, 2]}).set_index(['c1', 'c2'])
assert_raises(TypeError, df.to_html)  # True
```
