TST GH 29699 multilevel column is called after multiple appends


- [ ] closes #29699
- [ ] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

Not sure where the best place to put the test is. 

Also, this code generates a warning which doesn't seem to disappear when following the guidance of the warning i.e: set `sort=False`. As the default behaviour is meant to return a warning this is tested for.

This pull request is stale because it has been open for thirty days with no activity. Please update or respond to this comment if you're still interested in working on this. @TAJD can you merge master and ping when green-ish @TAJD can you merge master again & resolve conflicts? Based on comments this looks good to go For some reason it doesn't quite work out when I merge and then run tests. The warning still appears. I've not got much time at the moment to work this one out - I hope I've not missed anything obvious. > For some reason it doesn't quite work out when I merge and then run tests. The warning still appears. I've not got much time at the moment to work this one out - I hope I've not missed anything obvious.

No problem! Thanks for looking into this anyways. Closing the PR for now - let us know whenever you'd like to pick this back up and we'll reopen