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

closes #8456 
That would be true, but each element is a level, which is an ndarray iteself

```
In [1]: i = pd.MultiIndex.from_product([list('ab'),range(3)])

In [2]: i.levels
Out[2]: FrozenList([[u'a', u'b'], [0, 1, 2]])

In [4]: sum([ x.nbytes for x in i.levels ])    
Out[4]: 40

In [7]: i.levels[0]
Out[7]: Index([u'a', u'b'], dtype='object')
```