BUG: Should not raises errors in .set_names and comparison methods for MultiIndex with nlevels == 1 (GH21149)
- [x] closes #21149 
- [ ] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

@toobaz have made necessary updates for #21149 

original issue with set_names is fixed

Also, with the previous code snippet in `def cmp_method` it raised `ValueError` for equality / inequality comparisons of MultiIndex with nlevels == 1, which was inconsistent with behaviour for MultiIndex with nlevels > 1 - this has now been fixed Resolved the earlier conflict with `whatsnew` file Will check the test failure and resubmit after necessary edits @jreback Thanks for the review - have split this into two PRs as suggested (#21195 and #21196). Have also made the requested edits. Closing this PR.