Bug in concat creating invalid MultiIndex
- [x] closes #42651
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

I am checking the levels here to make it clear, what caused the issue previously. 
Failure looks unrelated thanks @phofl 