title: Pandas to_sql index with MultiIndex columns
body: <p>I'm trying to write a DataFrame that has MultiIndex columns to an MS SQL database. The index gets output as NULL. If I have just single columns, it works fine.</p>
  
  <pre><code>l1 = ['foo', 'bar']
  l2 = ['a', 'b', 'c']
  cols = pd.MultiIndex.from_product([l1, l2])
  df = pd.DataFrame(np.random.random((3,6)), index=[1,2,3], columns=cols)
  df.to_sql('test', conn, if_exists='replace')
  </code></pre>
  
  <p><a href="https://i.stack.imgur.com/miuOm.png" rel="noreferrer">How it looks in SQL</a></p>
  
  <p>Is this a bug or do I need to do something else to properly write the index?</p>