Clean up state variables in MultiIndex

[mroeschke]

Description

MultiIndex sets it's own state variables outside of __init__ and allows some uninitialized private variables that may be called in other methods. This PR now ensures these state variables are always initialized in __init__, _from_data and _simple_new

Checklist

• I am familiar with the Contributing Guidelines.
• New or existing tests cover these changes.
• The documentation is up to date with these changes.

[lithomas1]

Hm, I haven't really used MultiIndexes before, so probably not the best person to review here.

@galipremsagar Do you want to take a look at this one?

[galipremsagar]

/merge