BUG: MultiIndex union setting wrong sortorder parameter
- [x] closes #44752
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [x] whatsnew entry

thanks @phofl  thanks very much!