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 mainly worry about consistency across the cases here. If we treat `else` differently, then we will eventually end up "debugging" this.

after the `asarray` conversion endog should be treated the same way as in the ndarray case, IMO