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Backport PR #53060 on branch 2.0.x (REGR: df.loc setitem losing midx names) #53080

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Backport PR #53060: REGR: df.loc setitem losing midx names

@lumberbot-app lumberbot-app bot added this to the 2.0.2 milestone May 4, 2023
@lumberbot-app lumberbot-app bot added Indexing Related to indexing on series/frames, not to indexes themselves Regression Functionality that used to work in a prior pandas version MultiIndex labels May 4, 2023
@mroeschke mroeschke merged commit 71601f5 into pandas-dev:2.0.x May 4, 2023
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