Fix regression on datetime in MultiIndex
- [x] closes #35015
- [x] tests added / passed
  - `tests.indexing.multiindex.test_datetime:test_multiindex_datetime_columns`
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry
   - Not needed - this was a regression

/azp run <samp>
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</samp> @jbrockmendel this is what you had in mind right? Yes > can you add a whatsnew, bug fixes 1.1 in conversion section, patch looks good, some comments

@jreback I'm not going to add a whatsnew, as this was NOT a bug in 1.0.5, but was introduced during the development of 1.1 .  I will do the other things. > > can you add a whatsnew, bug fixes 1.1 in conversion section, patch looks good, some comments
> 
> @jreback I'm not going to add a whatsnew, as this was NOT a bug in 1.0.5, but was introduced during the development of 1.1 . I will do the other things.

thanks