TST: MultiIndex Slicing maintains first level index (#12697)
 - [x] closes #12697
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master | flake8 --diff``

The original issue appears to work correctly on master and doesn't seem to have been fixed by a PR from 0.20.0
Thanks! 

Seems it was already fixed in 0.19.0 as well. 

Just wondering for the location of the test, we don't have a separate class/file for multi-index tests? Now it seems in one gigantic `TestIndexing` class (@jreback?) ## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/15255?src=pr) is 86.32% (diff: 100%)
> Merging [#15255](https://codecov.io/gh/pandas-dev/pandas/pull/15255?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will not change coverage

```diff
@@             master     #15255   diff @@
==========================================
  Files           139        139          
  Lines         51149      51149          
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
  Hits          44156      44156          
  Misses         6993       6993          
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [66d8c41...6477929](https://codecov.io/gh/pandas-dev/pandas/compare/66d8c41db4e1cb39e06c9e1f712f7d1f105c4478...64779299ac98b4cd5b595abb0b47660ece69eb8b?src=pr) some tests in test_multilevel some in test_indexing

prob should make a new combined one @mroeschke Thanks! 
Let's keep potential reordering of tests for another PR