BUG: get_dummies not returning SparseDataFrame
Fixes #10531 .

@jreback Perhaps this would be more elegantly fixed by having `concat` drop empty passed-in DataFrames?
 xref #10536 
 I think #10536 should be fixed first. But this introduces the problem of when/how to convert a concat of series (that happen to be all SparseSeries) into a SparseDataFrame (as opposed to a DataFrame). 
 @jreback Not sure why #10536 needs to be fixed first --- it does not affect this issue (we are concating SparseDataFrames here)
 merged via https://github.com/pydata/pandas/commit/d06537478486887042ef89141707f6b05695995e

thanks!
