BUG: `Styler.set_sticky` not handling display of `index names`. 1/2
This addresses part of the bug identified in #42537, where column/index objects are not `MultiIndexes`.

Will need a follow-on to fully correct for the `MultiIndex` case.

@simonjayhawkins can this make it into 1.3.1 release?
although the fix is not complete, this PR does provide a fix for common cases so is better than nothing. thanks @attack68 

yeah if its a bug fix / regression we can certainly backport (and likey to have a number of 1.3.x releases).
 @meeseeksdev backport 1.3.x Something went wrong ... Please have  a look at my logs.