BUG: loc setitem with missing integer slices does not raise
- [ ] closes #26412
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

There are two reasons for updating an old test case `test_loc_setitem_empty_append_raises` in `test_loc.py`:

1. To raise the same error as `.loc.__getitem__` when give slice does not exist

1. The current error says `cannot copy sequence with size 2 to array axis with dimension 0`. This is not in line with what the user is trying to do: to add 2 new rows or columns. The error should be a TypeError because we don't current support (not yet implemented) using integer slice to add new rows / columns.

Hope that sounds convincing.
If not, let me know. This change has a huge impact on existing test cases. Let me investigate further. closing this PR in favor of #31840. 