BUG: PerformanceWarning when merging dataframes with multiindex columns and indicator option

[fjaragones]

Pandas version checks

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• I have confirmed this bug exists on the main branch of pandas.

Reproducible Example

import pandas as pd

df_one=pd.DataFrame({'A':['a','b'],'B':[1,2]})
df_two=pd.DataFrame({'A':['b','c'],'B':[3,4]})

df_one.columns=pd.MultiIndex.from_product([['one'],df_one.columns])
df_two.columns=pd.MultiIndex.from_product([['two'],df_two.columns])
df=pd.merge(df_one,df_two,how='outer',left_on=[('one','A')],right_on=[('two','A')],indicator=True)

Issue Description

When merging two dataframes with multiindex columns, if indicator is set to True, pandas shows:

PerformanceWarning: dropping on a non-lexsorted multi-index without a level parameter may impact performance.

If indicator is set to False, no warning is shown.

Expected Behavior

The expected behavior would be the execution of the code without the warning.

Installed Versions

INSTALLED VERSIONS ------------------ commit : 91111fd python : 3.9.13.final.0 python-bits : 64 OS : Linux OS-release : 5.15.0-52-generic Version : #58~20.04.1-Ubuntu SMP Thu Oct 13 13:09:46 UTC 2022 machine : x86_64 processor : x86_64 byteorder : little LC_ALL : en_US.UTF-8 LANG : en_US.UTF-8 LOCALE : en_US.UTF-8

pandas : 1.5.1
numpy : 1.22.4
pytz : 2022.5
dateutil : 2.8.2
setuptools : 65.3.0
pip : 22.2.2
Cython : 0.29.32
pytest : 7.1.3
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : 4.9.1
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : 3.1.2
IPython : 8.5.0
pandas_datareader: None
bs4 : 4.11.1
bottleneck : 1.3.5
brotli :
fastparquet : None
fsspec : 2022.10.0
gcsfs : None
matplotlib : 3.6.0
numba : 0.55.2
numexpr : 2.8.3
odfpy : None
openpyxl : None
pandas_gbq : None
pyarrow : None
pyreadstat : None
pyxlsb : None
s3fs : None
scipy : 1.9.1
snappy : None
sqlalchemy : 1.4.41
tables : 3.7.0
tabulate : None
xarray : 2022.10.0
xlrd : 2.0.1
xlwt : None
zstandard : None
tzdata : None