do not skip reindex for multi-index

Author: matiaslindgren

pandas/core/frame.py

@@ -4450,9 +4450,12 @@ def _set_item_frame_value(self, key, value: DataFrame) -> None:
                 loc, (slice, Series, np.ndarray, Index)
             ):
                 cols_droplevel = maybe_droplevels(cols, key)
-                if not cols_droplevel.any():
+                if (
+                    not isinstance(cols_droplevel, MultiIndex)
+                    and not cols_droplevel.any()
+                ):
                     return
-                if not cols_droplevel.equals(value.columns):
+                if len(cols_droplevel) and not cols_droplevel.equals(value.columns):
                     value = value.reindex(cols_droplevel, axis=1)
 
                 for col, col_droplevel in zip(cols, cols_droplevel):