CLN: Remove param _set_identity from MultiIndex
I don't see how `_set_identity`can be needed and other index classes don'r have this parameter, so best to just remove it.

Other index classes always end by calling `_reset_identity`, so I just do that here also. I'm not sure that's really needed, but that's for another day.
LGTM pending green, agreed this is weird yeah this is fine, I remember adding this at some point, then we removed but i guess not fully.