id,node_id,number,title,user,state,locked,assignee,milestone,comments,created_at,updated_at,closed_at,author_association,active_lock_reason,draft,pull_request,body,reactions,performed_via_github_app,state_reason,repo,type
446868198,MDU6SXNzdWU0NDY4NjgxOTg=,2978,sel(method=x) is not propagated for MultiIndex,5308236,open,0,,,3,2019-05-21T23:30:56Z,2022-04-09T02:09:00Z,,NONE,,,,"When passing a `method` different from `None` to the selection method (e.g. `.sel(method='nearest')`), it is not propagated if the index is a MultiIndex.
Specifically, the passing of the `method` key seems to be missing in `xarray/core/indexing.py:convert_label_indexer` https://github.com/pydata/xarray/blob/0811141e8f985a1f3b95ead92c3850cc74e160a5/xarray/core/indexing.py#L158-L159

For a normal index, the `method` is passed properly: https://github.com/pydata/xarray/blob/0811141e8f985a1f3b95ead92c3850cc74e160a5/xarray/core/indexing.py#L181

This leads to an unexpected `KeyError` when the selection value is not in the index, even if a nearest value could have been found.

#### Output of ``xr.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.6.7.final.0
python-bits: 64
OS: Linux
OS-release: 4.4.0-143-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

xarray: 0.10.8
pandas: 0.24.2
numpy: 1.16.2
scipy: 1.1.0
netCDF4: 1.4.2
h5netcdf: None
h5py: 2.8.0
Nio: None
zarr: None
bottleneck: None
cyordereddict: None
dask: 0.20.0
distributed: None
matplotlib: 3.0.1
cartopy: None
seaborn: 0.9.0
setuptools: 40.8.0
pip: 19.0.3
conda: None
pytest: 3.10.0
IPython: 7.1.1
sphinx: None
</details>
","{""url"": ""https://api.github.com/repos/pydata/xarray/issues/2978/reactions"", ""total_count"": 0, ""+1"": 0, ""-1"": 0, ""laugh"": 0, ""hooray"": 0, ""confused"": 0, ""heart"": 0, ""rocket"": 0, ""eyes"": 0}",,,13221727,issue
376953925,MDU6SXNzdWUzNzY5NTM5MjU=,2537,single coordinate is overwritten with dimension by set_index,5308236,open,0,,,8,2018-11-02T20:17:54Z,2020-11-02T17:24:35Z,,NONE,,,,"#### Code Sample

```python
import xarray as xr
d = xr.DataArray([0], coords={'coord': ('dim', [0])}, dims=['dim'])
d.set_index(append=True, inplace=True, dim=['coord'])
d.sel(dim=0)  # works
d.sel(coord=0)  # doesn't work, coord does not exist anymore
print(d)
```

```
<xarray.DataArray (dim: 1)>
array([0])
Coordinates:
  * dim      (dim) int64 0
```

#### Problem description

when a DataArray is initialized with a dimension containing only one coordinate, selection on the coordinate is not directly possible. As a workaround, we can `set_index` but if there is only one coordinate on a dimension, the coordinate vanishes and its values are attached to the dimension directly. 

The DataArrays in my use case are generic, in some cases there are multiple coordinates and sometimes there is only one. If the one consistent coordinate is discarded for some cases, follow-up code becomes tedious.
Having a single-coordinate MultiIndex would be much more intuitive so that one can still `.sel` over the coordinate.

#### Expected Output

```
<xarray.DataArray (dim: 1)>
array([0])
Coordinates:
  * dim      MultiIndex
    coord   (dim) int64 0
```

For more than one coordinate on the dimension, the dimension becomes a MultiIndex with all the coordinates. With only a single coordinate however, this does not happen.

#### Output of ``xr.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.6.6.final.0
python-bits: 64
OS: Linux
OS-release: 4.4.0-137-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8
xarray: 0.10.8
pandas: 0.23.4
numpy: 1.15.1
scipy: 1.1.0
netCDF4: 1.4.1
h5netcdf: None
h5py: 2.8.0
Nio: None
zarr: None
bottleneck: None
cyordereddict: None
dask: 0.19.1
distributed: None
matplotlib: 2.2.3
cartopy: None
seaborn: 0.9.0
setuptools: 39.1.0
pip: 10.0.1
conda: None
pytest: 3.8.0
IPython: 6.5.0
sphinx: None
</details>
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