Issue 28518 multiindex interesection
MultiIndex lexsort_depth now return sortorder if sortorder is not set to None

At first the error come from the intersection of the two indexes, that resulted in an unsorted index with an invalid lexsort_depth value. Then when looking at the lexsort_depth function I found the deeper error, where the returned lexsort_depth value were the number of level instead of the self.sortorder value.

After fixing that I implemented a check in the MultiIndex._verify_integrity function when a sortorder is given to raise if it no coherent with the lexsort_depth.

I added tests for the issue, for the lexsort_depth function, and fo raising error in the _verify_integrity function.

- [x] closes #28518
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

@jreback Changes are made and checks are green. 🙂 @jreback Green and ready for takeoff thanks @nrebena very nice!