BUG: Should not raise errors in .set_names for MultiIndex with nlevels == 1 (GH21149)
- [x] partially #21149 
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Initial PR #21182 is closed - and now split in 2 different PRs
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21196?src=pr&el=h1) Report
> :exclamation: No coverage uploaded for pull request base (`master@d30cc74`). [Click here to learn what that means](https://docs.codecov.io/docs/error-reference#section-missing-base-commit).
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/21196/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/21196?src=pr&el=tree)

```diff
@@            Coverage Diff            @@
##             master   #21196   +/-   ##
=========================================
  Coverage          ?   91.84%           
=========================================
  Files             ?      153           
  Lines             ?    49506           
  Branches          ?        0           
=========================================
  Hits              ?    45467           
  Misses            ?     4039           
  Partials          ?        0
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.23% <100%> (?)` | |
| #single | `41.88% <100%> (?)` | |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/21196?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/21196/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `96.68% <100%> (ø)` | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21196?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/21196?src=pr&el=footer). Last update [d30cc74...20fb292](https://codecov.io/gh/pandas-dev/pandas/pull/21196?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks @KalyanGokhale 

certainly love for you to kill the nlevels==1 checks in the rest of the code base :> Thanks @jreback - will comb through the codes for other nlevels==1 instances and would work on it