TST: sort index with sliced MultiIndex
xref #55379 

will open a separate PR for the targeted fix on 2.1.x

This test can be back-ported though.

Thanks @lukemanley  Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
git checkout 2.1.x
git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
git cherry-pick -x -m1 f7b49d8eac88f9db365def1cd2babe03b84dadf4
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
git commit -am 'Backport PR #55473: TST: sort index with sliced MultiIndex'
```

4. Push to a named branch:

```
git push YOURFORK 2.1.x:auto-backport-of-pr-55473-on-2.1.x
```

5. Create a PR against branch 2.1.x, I would have named this PR:

> "Backport PR #55473 on branch 2.1.x (TST: sort index with sliced MultiIndex)"

And apply the correct labels and milestones.

Congratulations — you did some good work! Hopefully your backport PR will be tested by the continuous integration and merged soon!

Remember to remove the `Still Needs Manual Backport` label once the PR gets merged.

If these instructions are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                