pd.concat loses index names with MultiIndex

[dchigarev]

System information

• OS Platform and Distribution (e.g., Linux Ubuntu 16.04): Windows 10
• Modin version (modin.__version__): 0.7.3+170.g7a4b735
• Python version: 3.7.5
• Code we can use to reproduce:

if __name__ == "__main__":
    import modin.pandas as pd
    import pandas

    kwargs1 = {
        "data": [[1, 2, 3], [4, 5, 6], [7, 8, 9]],
        "columns": pandas.Index(["a", "b", "c"], name="col1")
    }

    kwargs2 = {
        "data": [[1, 2, 3], [4, 5, 6], [7, 8, 9]],
        "columns": pandas.Index(["e", "f", "g"], name="col1")
    }

    md_df1, md_df2 = pd.DataFrame(**kwargs1), pd.DataFrame(**kwargs2)
    pd_df1, pd_df2 = pandas.DataFrame(**kwargs1), pandas.DataFrame(**kwargs2)
    keys = ["first", "second"]

    print("Pandas result:\n", pandas.concat([pd_df1, pd_df2], keys=keys, axis=1).columns)
    print("Modin result:\n", pd.concat([md_df1, md_df2], keys=keys, axis=1).columns)

Output:

Pandas result:
 MultiIndex([( 'first', 'a'),
            ( 'first', 'b'),
            ( 'first', 'c'),
            ('second', 'e'),
            ('second', 'f'),
            ('second', 'g')],
           names=[None, 'col1'])
Modin result:
 MultiIndex([( 'first', 'a'),
            ( 'first', 'b'),
            ( 'first', 'c'),
            ('second', 'e'),
            ('second', 'f'),
            ('second', 'g')],
           )

Describe the problem

Modin version of concat loses index names. That bug seems to appear only when keys parameter specified.