TST: add test case for sort_index on multiindexed Frame with sparse cols
- [ ] closes #29735 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] add test case for sort_index on multiindexed Frame with sparse cols

thanks @ylin00 