PERF: set multiindex labels with a coerced dtype (GH8456)

closes #8456 
Test it out: `sum(x for x in [1, 2, 3])`

`sum(i.nbytes for i in self.levels)` implicitly does the generator compression: http://legacy.python.org/dev/peps/pep-0289/

If you have a single argument to a function the parentheses around generator comprehensions are operational.