BUG: `MultiIndex.dtypes` index behavior changes after 1.4.x

[Yikun]

Pandas version checks

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Reproducible Example

After 1.4.x:

arrays​ ​=​ [[​1​, ​1​, ​2​, ​2​], [​"red"​, ​"blue"​, ​"red"​, ​"blue"​]]
pmidx = pd.MultiIndex.from_arrays(arrays, names=[("zero", "first"), ("one", "second")])
>>> pmidx.dtypes.index
Index([('zero', 'first'), ('one', 'second')], dtype='object')

Issue Description

dtypes index behavior changes.

Expected Behavior

pmidx = pd.MultiIndex.from_arrays(arrays, names=[("zero", "first"), ("one", "second")])
>>> pmidx.dtypes.index
MultiIndex([('zero',  'first'),
            ( 'one', 'second')],
           )

Installed Versions

pandas 1.4.2

[Yikun]

d06fb91

cc @johnzangwill

[rhshadrach]

Thanks for the report - can you add the values of arrays to your example in the OP.

[Yikun]

@rhshadrach Sorry before, added.

[simonjayhawkins]

d06fb91

xref #45175