BUG: MultiIndex.difference incorrectly raising TypeError when indexes contain non-sortable entries
- [ ] closes #xxxx
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

Can you check the performance impact here? (xref https://github.com/pandas-dev/pandas/pull/41929#issuecomment-860514675) > Can you check the performance impact here?

ran asvs overnight and no obvious standouts.  re-running a subset now to be on the safe side yep, all noise @meeseeksdev backport 1.3.x Something went wrong ... Please have  a look at my logs.