[BUG] MultiIndex.difference returns a pandas MultiIndex
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bug
Python
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- C++
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Description
**Describe the bug**
[The implementation of `MultiIndex.difference`](https://github.com/rapidsai/cudf/blob/branch-22.06/python/cudf/cudf/core/multiindex.py#L1487) converts to pandas and calls that object's method rather than properly implementing it.
**Expected behavior**
This method should be implemented internally and return a cudf MultiIndex object.
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