Raise ValueError when using levels with non-unique values in MultiIndex constructor
- [x] closes #17464
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

`verify_integrity` now also checks if any level has non-unique values and raises `ValueError` if one does.

However, some tests were broken due to this new behaviour.
I'd like to know what should I do in this case, should I add `verify_integrity=False` to those tests, change them, or do something else?

Also, how should I state this in the whatsnew file and where?

Thank you for your time! 🐼 🐍 
needs performance checking

whatsnew is in the other api changes section from https://github.com/pandas-dev/pandas/pull/17557#discussion_r139329564

> Isn't the first example throwing out an error because it's replacing those levels with these?
> levels = FrozenList([[1, 1, 1, 1, 1, 1, 1, 1, 1, 1], [0, 1, 2, 3, 4, 5, 6, 7, 8, 9]])
> And the is_unique method is indeed a more clear way to do it, thanks!
> Also, I'm having troubles running the performance checks with asv 😞 Some weird I/O shutil > error while trying to do pip wheel
  
For the asv, are you using conda? That's typically easiest.

 @TomAugspurger I ran the command again and I got it to work, but I'm seeing really weird results in the performance test, everything is either above or below 10% . Are these normal?

<details>

```
+      96.5±0.2ms          367±5ms     3.80  frame_methods.Reindex.time_reindex_axis1
+     40.4±0.08ms          122±5ms     3.02  frame_methods.Reindex.time_reindex_both_axes
+      40.9±0.2ms        111±0.3ms     2.72  frame_methods.Reindex.time_reindex_both_axes_ix
+      93.2±0.1ms          243±4ms     2.61  frame_methods.Dropna.time_count_level_axis0_multi
+        29.1±2ms         74.5±7ms     2.56  frame_methods.Shift.time_shift_axis0
+      29.9±0.2ms       74.8±0.3ms     2.50  frame_methods.Shift.time_shift_axis_1
+      84.3±0.5ms          190±3ms     2.25  frame_methods.Dropna.time_count_level_axis1_multi
+     96.0±0.05ms          213±2ms     2.21  frame_methods.Dropna.time_count_level_axis1_mixed_dtypes_multi
+      109±0.08ms            231ms     2.13  frame_methods.Dropna.time_count_level_axis0_mixed_dtypes_multi
+       105±0.1ms        219±0.7ms     2.10  frame_methods.Dropna.time_dropna_axis1_all
+      104±0.03ms            198ms     1.90  frame_methods.Dropna.time_dropna_axis0_all
+      33.9±0.9ms         58.5±2ms     1.73  binary_ops.TimeseriesTZ.time_timestamp_ops_diff1
+         452±2ms            731ms     1.62  frame_methods.Dropna.time_dropna_axis0_all_mixed_dtypes
+         996±7ms          1.55±0s     1.56  gil.NoGilGroupby.time_groups_2
+     11.0±0.02ms           16.7ms     1.51  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('LastWeekOfMonth', 1)
+     11.3±0.03ms      17.1±0.03ms     1.51  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('FY5253_1', 2)
+     5.22±0.01ms       7.81±0.3ms     1.50  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('CustomBusinessDay', 1)
+     47.8±0.01ms           70.6ms     1.48  frame_methods.Dropna.time_dropna_axis1_any
+     50.9±0.04ms           74.9ms     1.47  frame_methods.Dropna.time_dropna_axis0_any
+          2.97ms           4.25ms     1.43  frame_methods.Iteration.time_iteritems_cached
+        1.28±0ms      1.82±0.03ms     1.42  groupby.GroupBySuite.time_first('float', 100)
+      90.4±0.5ms          126±4ms     1.40  eval.Eval.time_chained_cmp('python', 1)
+         450±0ms            617ms     1.37  frame_methods.Dropna.time_dropna_axis1_all_mixed_dtypes
+     1.10±0.01ms      1.51±0.04ms     1.37  frame_methods.frame_boolean_row_select.time_frame_boolean_row_select
+     5.36±0.01ms       7.31±0.3ms     1.36  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('Minute', 1)
+     1.34±0.01ms      1.81±0.08ms     1.34  groupby.GroupBySuite.time_last('float', 100)
+        1.27±0ms      1.70±0.06ms     1.34  groupby.GroupBySuite.time_last('int', 100)
+        2.19±0ms      2.93±0.08ms     1.34  groupby.GroupBySuite.time_head('float', 100)
+     1.27±0.01ms      1.67±0.03ms     1.32  groupby.GroupBySuite.time_first('int', 100)
+     5.48±0.01ms      7.18±0.02ms     1.31  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('DateOffset', 2)
+     2.13±0.01ms      2.78±0.07ms     1.30  groupby.GroupBySuite.time_head('int', 100)
+     6.29±0.03ms       8.18±0.2ms     1.30  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('Milli', 2)
+     6.47±0.01ms      8.41±0.02ms     1.30  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('QuarterBegin', 1)
+     6.27±0.02ms      8.13±0.03ms     1.30  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('Micro', 2)
+     5.85±0.01ms      7.57±0.01ms     1.29  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('Easter', 1)
+        40.0±2ms         51.6±2ms     1.29  eval.Eval.time_mult('python', 1)
+     23.6±0.09ms       30.5±0.2ms     1.29  binary_ops.Timeseries.time_timestamp_ops_diff1
+     29.5±0.05ms       38.0±0.2ms     1.29  frame_methods.Apply.time_apply_lambda_mean
+         138±4ms          178±5ms     1.29  gil.NoGilGroupby.time_count_2
+     7.85±0.07ms         10.1±0ms     1.29  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('CustomBusinessHour', 1)
+     6.29±0.02ms      8.08±0.01ms     1.28  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('Second', 2)
+         425±1ms        546±0.8ms     1.28  frame_methods.Apply.time_apply_axis_1
+     6.51±0.03ms      8.32±0.02ms     1.28  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('BYearBegin', 2)
+     7.29±0.02ms      9.30±0.02ms     1.28  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('BusinessHour', 1)
+           682ms            866ms     1.27  gil.nogil_read_csv.time_read_csv
+          29.3μs           37.2μs     1.27  timeseries.DatetimeIndex.time_timestamp_tzinfo_cons
+     6.20±0.01ms      7.86±0.01ms     1.27  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('CustomBusinessDay', 2)
+     6.63±0.01ms         8.39±0ms     1.27  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('BMonthEnd', 2)
+           674ms            853ms     1.27  frame_methods.Iteration.time_iteritems_indexing
+     4.59±0.02ms       5.80±0.2ms     1.26  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('DateOffset', 1)
+         175±2ms          221±2ms     1.26  groupby.GroupBySuite.time_mad('int', 100)
+           17.2s            21.7s     1.26  groupby.GroupBySuite.time_mad('int', 10000)
+       132±0.2ms        164±0.1ms     1.25  frame_ctor.FromDicts.time_frame_ctor_list_of_dict
+          70.4ms           87.8ms     1.25  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('FY5253Quarter_1', 2)
+       393±0.4ms            489ms     1.25  frame_methods.Dropna.time_dropna_axis0_any_mixed_dtypes
+      108±0.02ms          134±7ms     1.24  frame_methods.frame_getitem_single_column.time_frame_getitem_single_column
+     43.2±0.05ms         53.6±0ms     1.24  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('FY5253_2', 2)
+      394±0.06ms            489ms     1.24  frame_methods.Dropna.time_dropna_axis1_any_mixed_dtypes
+     6.19±0.04ms       7.68±0.2ms     1.24  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('Second', 1)
+      80.7±0.4μs        100±0.1μs     1.24  timeseries.Offsets.time_custom_bday_apply_dt64
+      131±0.04ms            163ms     1.24  frame_methods.Iteration.time_iteritems
+     5.89±0.06ms      7.30±0.07ms     1.24  binary_ops.Timeseries.time_series_timestamp_compare
+          42.8ms           52.7ms     1.23  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('FY5253_2', 1)
+           27.5s            33.9s     1.23  groupby.GroupBySuite.time_mad('float', 10000)
+      2.73±0.01s       3.36±0.03s     1.23  gil.NoGilGroupby.time_groups_4
+     4.99±0.06ms       6.13±0.2ms     1.23  groupby.GroupBySuite.time_last('int', 10000)
+         274±2ms         336±30ms     1.23  groupby.GroupBySuite.time_mad('float', 100)
+      42.5±0.2μs       52.0±0.2μs     1.22  timeseries.Offsets.time_timeseries_year_apply
+      61.1±0.4ms         74.4±1ms     1.22  groupby.GroupBySuite.time_diff('int', 100)
+     6.25±0.05ms      7.62±0.01ms     1.22  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('Micro', 1)
+      44.3±0.9ms         53.8±1ms     1.22  groupby.FirstLast.time_groupby_nth_none('datetime')
+        1.25±0ms      1.51±0.04ms     1.22  groupby.GroupBySuite.time_cummin('int', 100)
+       120±0.3μs        146±0.2μs     1.21  timeseries.Offsets.time_timeseries_day_incr
+         214±2ms        260±0.3ms     1.21  timedelta.ToTimedelta.time_convert_coerce
+     28.2±0.06ms         34.1±2ms     1.21  frame_methods.Apply.time_apply_np_mean
+     6.12±0.01ms       7.38±0.2ms     1.21  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('CDay', 1)
+        1.24±0ms      1.50±0.03ms     1.20  groupby.GroupBySuite.time_cummax('int', 100)
+     5.97±0.02ms      7.18±0.03ms     1.20  frame_ctor.FromDicts.time_series_ctor_from_dict
+          75.7μs           90.8μs     1.20  index_object.Float64.time_construct
+           11.1s            13.2s     1.20  panel_methods.PanelMethods.time_pct_change_items
+          87.5μs            105μs     1.20  inference.to_numeric.time_from_float
+        5.14±0ms       6.14±0.4ms     1.20  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('BDay', 1)
+       114±0.8ms        136±0.6ms     1.19  frame_ctor.FromDicts.time_frame_ctor_nested_dict
+           5.31s            6.31s     1.19  gil.NoGilGroupby.time_groups_8
+           8.96s            10.6s     1.19  groupby.GroupBySuite.time_diff('float', 10000)
+         582±2μs          687±1μs     1.18  period.period_standard_indexing.time_intersection
+     6.93±0.06ms      8.18±0.09ms     1.18  groupby.GroupBySuite.time_head('int', 10000)
+     5.29±0.05ms       6.22±0.1ms     1.18  groupby.GroupBySuite.time_first('int', 10000)
+     1.85±0.01ms      2.18±0.04ms     1.18  groupby.GroupBySuite.time_cumprod('float', 100)
+      22.6±0.1μs       26.5±0.1μs     1.17  indexing.DataFrameIndexing.time_get_value_ix
+           1.20s            1.40s     1.17  packers.Excel.time_write_excel_xlsxwriter
+     59.5±0.06ms       69.8±0.8ms     1.17  categoricals.Categoricals2.time_value_counts_dropna
+         893±1μs         1.05±0ms     1.17  indexing.MultiIndexing.time_frame_xs_mi_ix
+           8.12s            9.52s     1.17  panel_methods.PanelMethods.time_pct_change_major
+       233±0.4μs        273±0.3μs     1.17  timeseries.SemiMonthOffset.time_begin_decr_n
+           47.9s            56.0s     1.17  groupby.GroupBySuite.time_describe('int', 10000)
+       208±0.2μs        242±0.3μs     1.16  timeseries.SemiMonthOffset.time_begin_incr
+     3.95±0.01ms       4.60±0.3ms     1.16  categoricals.Categoricals.time_constructor_datetimes_with_nat
+     1.29±0.01ms      1.50±0.05ms     1.16  groupby.GroupBySuite.time_cumsum('int', 100)
+     2.89±0.01ms       3.35±0.3ms     1.16  frame_methods.frame_from_records_generator.time_frame_from_records_generator_nrows
+     9.17±0.03ms       10.6±0.1ms     1.16  groupby.GroupBySuite.time_head('float', 10000)
+       146±0.3ms          168±3ms     1.16  groupby.GroupBySuite.time_pct_change('int', 100)
+        1.21±0ms      1.40±0.01ms     1.16  groupby.GroupBySuite.time_var('float', 100)
+           8.06s            9.31s     1.15  panel_methods.PanelMethods.time_pct_change_minor
+     5.60±0.04ms       6.46±0.1ms     1.15  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('MonthBegin', 2)
+      15.7±0.1ms       18.1±0.4ms     1.15  algorithms.Algorithms.time_add_overflow_pos_scalar
+      31.0±0.1ms       35.8±0.6ms     1.15  eval.Eval.time_add('numexpr', 1)
+        1.39±0ms      1.60±0.05ms     1.15  groupby.GroupBySuite.time_cumsum('float', 100)
+           5.65s            6.50s     1.15  groupby.GroupBySuite.time_diff('int', 10000)
+           3.26s            3.76s     1.15  timeseries.SeriesArithmetic.time_add_offset_slow
+        97.2±2ms          112±3ms     1.15  eval.Eval.time_and('python', 1)
+           154ms            177ms     1.15  frame_methods.Iteration.time_itertuples
+     4.99±0.03ms       5.73±0.2ms     1.15  groupby.GroupBySuite.time_cummax('int', 10000)
+     6.56±0.01ms       7.53±0.1ms     1.15  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('SemiMonthBegin', 1)
+          9.84ms           11.3ms     1.15  index_object.Float64.time_boolean_series_indexer
+        1.31±0ms      1.50±0.04ms     1.14  groupby.GroupBySuite.time_cummax('float', 100)
+     7.73±0.06ms       8.84±0.1ms     1.14  groupby.GroupBySuite.time_last('float', 10000)
+     1.76±0.01ms      2.01±0.01ms     1.14  groupby.GroupBySuite.time_cumprod('int', 100)
+      92.4±0.3ms          106±3ms     1.14  groupby.GroupBySuite.time_diff('float', 100)
+          6.68ms           7.62ms     1.14  inference.DtypeInfer.time_int64
+     1.29±0.01ms      1.47±0.02ms     1.14  groupby.GroupBySuite.time_cumcount('float', 100)
+     6.04±0.04ms       6.86±0.7ms     1.14  binary_ops.TimeseriesTZ.time_series_timestamp_compare
+     5.90±0.03ms       6.70±0.3ms     1.14  binary_ops.Timeseries.time_timestamp_series_compare
+         392±1ms          446±9ms     1.14  frame_methods.frame_insert_100_columns_begin.time_frame_insert_500_columns_end
+     5.02±0.05ms      5.70±0.05ms     1.14  groupby.GroupBySuite.time_cummin('int', 10000)
+     5.80±0.03ms       6.58±0.1ms     1.14  groupby.GroupBySuite.time_cumprod('int', 10000)
+         770±6ms          874±8ms     1.13  groupby.GroupBySuite.time_describe('float', 100)
+           22.8s            25.9s     1.13  gil.nogil_datetime_fields.time_datetime_field_day
+     7.74±0.06ms       8.78±0.1ms     1.13  groupby.GroupBySuite.time_first('float', 10000)
+       108±0.5ms        122±0.3ms     1.13  frame_methods.FrameIsnull.time_isnull_obj
+         819±2μs          926±2μs     1.13  indexing.MultiIndexing.time_series_xs_mi_ix
+         479±2μs         541±20μs     1.13  frame_methods.frame_get_dtype_counts.time_frame_get_dtype_counts
+       101±0.3ms        114±0.2ms     1.13  frame_methods.FrameIsnull.time_isnull_strngs
+     9.86±0.06ms       11.1±0.8ms     1.13  binary_ops.Ops.time_frame_mult(False, 'default')
+         114±1ms          128±1ms     1.13  parser_vb.read_csv_categorical.time_convert_direct
+     6.28±0.02ms       7.07±0.2ms     1.13  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('BQuarterEnd', 2)
+      37.7±0.1ms         42.3±1ms     1.12  groupby.GroupBySuite.time_any('int', 100)
+     3.82±0.05μs      4.29±0.02μs     1.12  period.Properties.time_minute
+         264±2ms          296±3ms     1.12  packers.packers_read_sas.time_read_sas7bdat
+     30.8±0.08ms         34.5±2ms     1.12  eval.Eval.time_mult('numexpr', 1)
+        2.64±0ms      2.96±0.09ms     1.12  categoricals.Categoricals2.time_rendering
+      7.40±0.1ms       8.29±0.1ms     1.12  groupby.GroupBySuite.time_cummin('float', 10000)
+     3.09±0.01ms      3.46±0.01ms     1.12  groupby.groupby_sum_multiindex.time_groupby_sum_multiindex
+       120±0.2ms        135±0.4ms     1.12  frame_ctor.FromDicts.time_frame_ctor_nested_dict_int64
+         485±2ms          543±4ms     1.12  groupby.GroupBySuite.time_describe('int', 100)
+           47.3s            52.9s     1.12  binary_ops.TimeseriesTZ.time_timestamp_ops_diff2
+         603±1μs          674±2μs     1.12  indexing.DataFrameIndexing.time_iloc_dups
+        1.02±0ms      1.14±0.04ms     1.12  categoricals.Categoricals.time_constructor_fastpath
+     3.83±0.05μs      4.27±0.07μs     1.12  period.Properties.time_hour
+     10.8±0.04ms      12.0±0.07ms     1.11  groupby.groupby_nth.time_groupby_frame_nth_any
+     21.6±0.05μs      24.1±0.06μs     1.11  indexing.MultiIndexing.time_multiindex_med_get_loc
+       350±0.8ms          390±2ms     1.11  inference.to_numeric_downcast.time_downcast('string-float', 'float')
+     4.03±0.03μs      4.47±0.05μs     1.11  period.Properties.time_year
+     2.40±0.03ms      2.66±0.01ms     1.11  frame_methods.FrameIsnull.time_isnull
+      24.1±0.1ms       26.7±0.2ms     1.11  reindex.LibFastZip.time_lib_fast_zip
+       103±0.6ms        114±0.5ms     1.10  strings.StringMethods.time_join_split_expand
+     6.29±0.01ms      6.94±0.02ms     1.10  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('Day', 2)
+     6.78±0.03ms      7.47±0.06ms     1.10  frame_methods.Equals.time_frame_float_equal
+     4.97±0.02ms      5.48±0.05ms     1.10  groupby.GroupBySuite.time_cumsum('int', 10000)
-          26.8μs           24.2μs     0.90  index_object.Float64.time_slice_indexer_even
-          7.60ms           6.81ms     0.90  inference.DtypeInfer.time_float64
-        2.41±0ms      2.16±0.01ms     0.90  groupby.GroupBySuite.time_sem('float', 100)
-     9.28±0.02ms      8.27±0.05ms     0.89  groupby.groupby_datetimetz.time_groupby_sum
-         612±1ms          546±1ms     0.89  inference.to_numeric_downcast.time_downcast('string-nint', 'unsigned')
-        1.07±0ms          957±3μs     0.89  reindex.Duplicates.time_series_drop_dups_int
-      1.48±0.01s          1.32±0s     0.89  replace.replace_convert.time_replace_frame_timestamp
-        1.37±0ms         1.22±0ms     0.89  period.Algorithms.time_value_counts_pindex
-         486±4ms          432±2ms     0.89  groupby.Transform.time_transform_func
-      42.8±0.2μs       38.0±0.2μs     0.89  timestamp.TimestampProperties.time_is_year_end
-          40.9ms           36.1ms     0.88  gil.nogil_read_csv.time_read_csv_object
-      18.5±0.2ms       16.2±0.2ms     0.88  groupby.groupby_nth.time_groupby_series_nth_any
-      82.1±0.3μs       71.7±0.3μs     0.87  indexing.Int64Indexing.time_getitem_scalar
-      94.5±0.2ms       82.4±0.2ms     0.87  groupby.GroupBySuite.time_skew('float', 100)
-           752ms          649±1ms     0.86  inference.to_numeric_downcast.time_downcast('string-nint', 'signed')
-         380±3ms          328±1ms     0.86  inference.to_numeric_downcast.time_downcast('string-float', 'signed')
-          44.6ms           38.3ms     0.86  frame_ctor.FrameConstructorDTIndexFromOffsets.time_frame_ctor('FY5253Quarter_1', 1)
-      79.4±0.1ms       68.1±0.6ms     0.86  groupby.GroupBySuite.time_unique('float', 100)
-      1.54±0.01s       1.30±0.01s     0.85  replace.replace_convert.time_replace_frame_timedelta
-         959±6ms          808±5ms     0.84  replace.replace_convert.time_replace_series_timedelta
-          26.9μs           22.5μs     0.84  index_object.Float64.time_slice_indexer_basic
-         273±1μs        226±0.3μs     0.83  period.period_standard_indexing.time_series_loc
-       106±0.7μs       87.5±0.5μs     0.82  timeseries.Offsets.time_custom_bday_incr
-      17.2±0.3ms       13.7±0.3ms     0.80  binary_ops.Ops2.time_frame_int_mod
-      25.8±0.4ms       17.5±0.7ms     0.68  binary_ops.Ops.time_frame_add(True, 'default')
-      17.4±0.3ms       9.88±0.5ms     0.57  binary_ops.Ops2.time_frame_float_mod
```

</details> The `-f 1.1` limits it to only benchmarks that changed by more that 10%.  The results can be noisy, depending on how much load your machine is under while running the benchmarks. Typically anything larger than 1.3 - 1.5 is significant.

I'll take a look later.  Alright, ping me when you've gone through it. Thanks @TomAugspurger :) Perf looked fine, though the CI failures look relevant. Yes, I think I'll need to change those tests because they they have this faulty behavior. Any advice on that? this is being closed by #17971. thanks for the effort here. many other issues if you'd like to take a look!