BUG: Override mi-columns in to_csv if requested
Previously, `MultiIndex` columns weren't being overwritten when `header` was passed in for `to_csv`.

Closes #5539 (almost four years to the day, wow...)

lgtm! @jschendel : Thanks for the comments.  I'm going to hold off from making the changes here because I see that your comments are applicable to several other points in those two files.  Will make another PR to clean those up once this one is merged. @gfyoung : Sounds good, was actually thinking of doing something similar myself.  I'm usually hesitant to bring up points like that when I see them unless there's already edits that need to be made, since they're not super critical and don't want people to feel like I'm nagging them! @gfyoung tiny comment. after that, merge when ready. All green, so merging.