Replaces Exceptions with ValueError in MultiIndex, closes #21770
- [X] closes #21770 
- [X] tests added / passed
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21780?src=pr&el=h1) Report
> Merging [#21780](https://codecov.io/gh/pandas-dev/pandas/pull/21780?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/620abc403d371446afe38fc1e63f0d90ea27b80a?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `50%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/21780/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/21780?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #21780      +/-   ##
==========================================
+ Coverage   91.95%   91.95%   +<.01%     
==========================================
  Files         160      160              
  Lines       49820    49820              
==========================================
+ Hits        45812    45813       +1     
+ Misses       4008     4007       -1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.33% <50%> (ø)` | :arrow_up: |
| #single | `42.07% <0%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/21780?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/multi.py](https://codecov.io/gh/pandas-dev/pandas/pull/21780/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9tdWx0aS5weQ==) | `95.05% <50%> (+0.08%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21780?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21780?src=pr&el=footer). Last update [620abc4...cffaa59](https://codecov.io/gh/pandas-dev/pandas/pull/21780?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
