BUG FIX: incorrect type when casting to nullable type in multiindex dataframe
- [ ] closes #46896
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

> Did not see this yesterday when opening my pr. #48094
> 
> We have to set column wise here, otherwise we will cast dtypes as soon as we have multiple dtypes in our value to set, for example #20476.
> 
> We are doing the same if the indexer is a list of keys

Ok I will close my PR. Your PR is much better. Will look at your solution.  
