BUG: MultiIndex.set_names loses name

Seems surprising, I thought `.name` would come along. 

``` python
In [31]: idx = pd.MultiIndex.from_product([['A'], ['a', 'b', 'c']])

In [32]: idx.name = 'foo'

In [33]: idx2 = idx.set_names(['l1', 'l2'])

In [34]: idx2.name
```

Bug, or user error since MultiIndex.name isn't all that useful?
