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Backport PR #46322 on branch 1.4.x (Regression in loc.setitem losing mi names when df is empty) #46334

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Backport PR #46322: Regression in loc.setitem losing mi names when df is empty

@lumberbot-app lumberbot-app bot added this to the 1.4.2 milestone Mar 11, 2022
@lumberbot-app lumberbot-app bot added Indexing Related to indexing on series/frames, not to indexes themselves MultiIndex Regression Functionality that used to work in a prior pandas version labels Mar 11, 2022
@jreback jreback merged commit 9b4407a into pandas-dev:1.4.x Mar 12, 2022
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