BUG: .unique() on MultiIndex: preserve names
- [x] closes #20308
- [x] closes #20570
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20571?src=pr&el=h1) Report
> Merging [#20571](https://codecov.io/gh/pandas-dev/pandas/pull/20571?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/d2ab4076512f5571b74e6ea2936910841b10dbe2?src=pr&el=desc) will **decrease** coverage by `0.02%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/20571/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/20571?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #20571      +/-   ##
==========================================
- Coverage   91.84%   91.82%   -0.03%     
==========================================
  Files         152      152              
  Lines       49270    49269       -1     
==========================================
- Hits        45252    45239      -13     
- Misses       4018     4030      +12
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.2% <100%> (-0.03%)` | :arrow_down: |
| #single | `41.9% <0%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/20571?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/multi.py](https://codecov.io/gh/pandas-dev/pandas/pull/20571/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9tdWx0aS5weQ==) | `95.05% <100%> (-0.01%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/20571/diff?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `65.07% <0%> (-1.74%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20571?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20571?src=pr&el=footer). Last update [d2ab407...9089b69](https://codecov.io/gh/pandas-dev/pandas/pull/20571?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @jreback ready to merge if there are no further comments lgtm. merge away @toobaz
