jezrael's answer is good, but did not answer a question I had: Will getting the "sort" flag wrong mess up my data in any way? The answer is apparently "no", you are fine either way.
from pandas import DataFrame, concat
a = DataFrame([{'a':1, 'c':2,'d':3 }])
b = DataFrame([{'a':4,'b':5, 'd':6,'e':7}])
>>> concat([a,b],sort=False)
a c d b e
0 1 2.0 3 NaN NaN
0 4 NaN 6 5.0 7.0
>>> concat([a,b],sort=True)
a b c d e
0 1 NaN 2.0 3 NaN
0 4 5.0 NaN 6 7.0