Fix return type of MultiIndex.difference (#14009)

closes #14008 

This PR ensures `MultiIndex.difference` returns `cudf.MultiIndex`.

Authors:
  - GALI PREM SAGAR (https://github.com/galipremsagar)

Approvers:
  - Matthew Roeschke (https://github.com/mroeschke)
  - Bradley Dice (https://github.com/bdice)

URL: #14009

python/cudf/cudf/core/multiindex.py

@@ -1637,7 +1637,7 @@ def memory_usage(self, deep=False):
     def difference(self, other, sort=None):
         if hasattr(other, "to_pandas"):
             other = other.to_pandas()
-        return self.to_pandas().difference(other, sort)
+        return cudf.from_pandas(self.to_pandas().difference(other, sort))
 
     @_cudf_nvtx_annotate
     def append(self, other):

python/cudf/cudf/tests/test_multiindex.py

@@ -1697,6 +1697,7 @@ def test_difference():
 
     expected = midx2.to_pandas().difference(midx.to_pandas())
     actual = midx2.difference(midx)
+    assert isinstance(actual, cudf.MultiIndex)
     assert_eq(expected, actual)