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Preserve names of column object in various APIs (#13772)
This PR preserves column names in various APIs by retaining `self._data._level_names` and also calculating when to preserve the column names. Fixes: #13741, #13740 Authors: - GALI PREM SAGAR (https://github.com/galipremsagar) Approvers: - Bradley Dice (https://github.com/bdice) - Ashwin Srinath (https://github.com/shwina) - Lawrence Mitchell (https://github.com/wence-) URL: #13772
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