BUG GH11600  - MultiIndex column level names lost when to_sparse() called
closes #11600 

Fixed problem with multi-index column level names not propagating into sparse frames or back out to dense on a round trip through sparse. Includes 4 new tests to cover some relevant scenarios. Problem fixed for the conventions to_sparse path, I'm not sure about other paths where something else is passed to SparseDataSeries directly, those would be outside scope of bug.

Hi Jeff- Hopefully I understood what you were looking for in the tests, it now has one roundtrip and one check after sparse construction, both using the pandas-specific asserts. If this was not what you meant just let me know how it could be better. Cheers, Zeke
 couple of points; pls add a whatsnew note (bug fixes) for 0.17.1.

ping when green.
 pls squash as well
 Code all fixed up but squashing still left me two commits for some reason. I'll look into the Git stuff but it might take a couple days as I have some other stuff to do.
 Squashed all my stuff down to one commit and updated pull request. Looks like you have a commit that's mixed in there to adjust a warning but github says its okay. Let me know if anything can be better, I think I hit everything you asked for.
 merged via https://github.com/pydata/pandas/commit/207e0ce811451280e835475b7b8b2c34b3818d4e

thanks!
 Great! I updated on stackoverflow with a link to the issue here just in case somebody (possibly who hasn't updated) should ever run into it. Seems perhaps unlikely for such an edge case but better that than somebody finding the SO question and not knowing its fixed if they update!
