REGR: grouping with a multi-index with first, a regression from 0.14.1

[jreback]

reported in #7965

df = pd.DataFrame([[1,2,3],[4,5,6],[7,8,9]])
df.columns = pd.MultiIndex.from_tuples([(0,1),(1,1),(2,1)])
df.groupby(axis=1, level=[0,1]).first()
TypeError: can only sort by level with a hierarchical index