ENH: MNLogit strings/factor

Make sure MNLogit still works with strings, factors, object arrays. This got borked in the object array check that was added. Needs to go in for 0.6. So will also need a PR versus the 0.6.x maintenance branch.
I was kind of banking on people not passing in a list of dummy variables. I'm waffling here and might just add a note to the docs.