Type levels as list in _make_concat_multiindex (fixes #14438)
- [x] closes #14438
- [x] tests added / passed
- [x] passes `git diff upstream/master | flake8 --diff`
- [x] whatsnew entry

## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/14449?src=pr) is 85.25% (diff: 100%)

> Merging [#14449](https://codecov.io/gh/pandas-dev/pandas/pull/14449?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will not change coverage

``` diff
@@             master     #14449   diff @@
==========================================
  Files           140        140          
  Lines         50631      50631          
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
  Hits          43166      43166          
  Misses         7465       7465          
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [c31ea34...57a2ec8](https://codecov.io/gh/pandas-dev/pandas/compare/c31ea341747ac40d83e64d00bac179548e4b716e...57a2ec8f719892ee1ff265e55ac53a76d8a36bdf?src=pr)
 minor change, ping when green.
 yep, will do!
 @jreback done!
 thanks @dubourg 
