There are some issues with creation of a wide GeoDataFrame with a MultiIndex. Both are coming from GeoPandas and one is being if fixed in geopandas/geopandas#2088 while the other is reported at geopandas/geopandas#2806.
Depending on the resolution of the latter, we may need to apply a patch on our side passing an indexer like set_geometry(("geometry", "", "")) instead of a simple set_geometry("geometry"). But we still need a release of GeoPandas (coming soon!) with the fix of the former, so it may be all resolved there.