Bug in loc did not raise KeyError when missing combination with slice(None) was given
- [x] closes #19556
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Additional question: When an non existent key is given for ``get_locs`` it raises a ``KeyError``. When just a missing combination of keys is given (``(b,1)`` in the new test), while the individual keys exist, an empty array is returned. Is this the expected behavior?
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Edit: Did not think this through.  lgtm @jbrockmendel if any comments. LGTM

Thanks for tackling all these indexing issues @phofl, they can be a real doozy.  FWIW we've done a lot of semi-recent cleanup of the indexing code but MultiIndex has received relatively little attention.  Probably some relatively low-hanging fruit there. Thanks, 

I will have a look for the MultiIndex code paths @phofl can you merge master, the CI should be fixed Merged master thanks @phofl 