single coordinate is overwritten with dimension by set_index

Code Sample

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()

Start by running the supplied DataArray.set_index and .sel reproduction, then inspect the set_index path and its handling of pandas MultiIndex values. Done means a single coordinate remains available as a MultiIndex level, the displayed structure matches the expected output, and selection by coord succeeds.