Allows loc to create multiple new index
- [x] closes #25594
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Starting in 0.21.0, using .loc or [] with a list with one or more missing labels, is deprecated. In the doc, only getting is shown:
https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#indexing-with-list-with-missing-labels-is-deprecated

As argued in #25594, this should not be the case for setting. This PR is therefore adding the possibility of adding index and columns when setting with array-like index.

If the axis is a MultiIndex, the expected result is not trivial, and is therefore not covered in this PR.
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=h1) Report
> Merging [#25607](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/5c159d2ea2450cc6501722c13b916581706d19fd?src=pr&el=desc) will **decrease** coverage by `49.55%`.
> The diff coverage is `25%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25607/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=tree)

```diff
@@             Coverage Diff             @@
##           master   #25607       +/-   ##
===========================================
- Coverage   91.26%    41.7%   -49.56%     
===========================================
  Files         173      173               
  Lines       52968    52999       +31     
===========================================
- Hits        48339    22101    -26238     
- Misses       4629    30898    +26269
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `?` | |
| #single | `41.7% <25%> (-0.02%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `51.32% <25%> (-39.56%)` | :arrow_down: |
| [pandas/io/formats/latex.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvbGF0ZXgucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/core/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY2F0ZWdvcmljYWwucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/sas/sas\_constants.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfY29uc3RhbnRzLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/plotting.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvcGxvdHRpbmcucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvY29udmVydGVyLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/formats/html.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvaHRtbC5weQ==) | `0% <0%> (-99.36%)` | :arrow_down: |
| [pandas/core/groupby/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS9jYXRlZ29yaWNhbC5weQ==) | `0% <0%> (-95.46%)` | :arrow_down: |
| [pandas/io/sas/sas7bdat.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXM3YmRhdC5weQ==) | `0% <0%> (-91.17%)` | :arrow_down: |
| [pandas/io/sas/sas\_xport.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfeHBvcnQucHk=) | `0% <0%> (-90.15%)` | :arrow_down: |
| ... and [131 more](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25607?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/25607?src=pr&el=footer). Last update [5c159d2...0bbfa41](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Hello @impact27! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:







There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2019-03-29 14:15:59 UTC # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=h1) Report
> Merging [#25607](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/26d991fc4e568432c3264151265c0a3ea9a6f133?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `86.4%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25607/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25607      +/-   ##
==========================================
- Coverage   91.28%   91.28%   -0.01%     
==========================================
  Files         173      173              
  Lines       52965    53006      +41     
==========================================
+ Hits        48348    48385      +37     
- Misses       4617     4621       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.85% <86.4%> (-0.01%)` | :arrow_down: |
| #single | `41.72% <27.18%> (-0.02%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `90.76% <86.4%> (-0.12%)` | :arrow_down: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `89.08% <0%> (+0.09%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25607?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/25607?src=pr&el=footer). Last update [26d991f...259e38c](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=h1) Report
> Merging [#25607](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/26d991fc4e568432c3264151265c0a3ea9a6f133?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `86.4%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25607/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25607      +/-   ##
==========================================
- Coverage   91.28%   91.28%   -0.01%     
==========================================
  Files         173      173              
  Lines       52965    53006      +41     
==========================================
+ Hits        48348    48385      +37     
- Misses       4617     4621       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.85% <86.4%> (-0.01%)` | :arrow_down: |
| #single | `41.72% <27.18%> (-0.02%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `90.76% <86.4%> (-0.12%)` | :arrow_down: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `89.08% <0%> (+0.09%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25607?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/25607?src=pr&el=footer). Last update [26d991f...6796354](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=h1) Report
> Merging [#25607](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/26d991fc4e568432c3264151265c0a3ea9a6f133?src=pr&el=desc) will **decrease** coverage by `49.55%`.
> The diff coverage is `27.45%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25607/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=tree)

```diff
@@             Coverage Diff             @@
##           master   #25607       +/-   ##
===========================================
- Coverage   91.28%   41.73%   -49.56%     
===========================================
  Files         173      173               
  Lines       52965    53005       +40     
===========================================
- Hits        48348    22119    -26229     
- Misses       4617    30886    +26269
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `?` | |
| #single | `41.73% <27.45%> (-0.02%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `51.44% <27.45%> (-39.44%)` | :arrow_down: |
| [pandas/io/formats/latex.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvbGF0ZXgucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/core/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY2F0ZWdvcmljYWwucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/sas/sas\_constants.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfY29uc3RhbnRzLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/plotting.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvcGxvdHRpbmcucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvY29udmVydGVyLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/formats/html.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvaHRtbC5weQ==) | `0% <0%> (-99.36%)` | :arrow_down: |
| [pandas/core/groupby/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS9jYXRlZ29yaWNhbC5weQ==) | `0% <0%> (-95.46%)` | :arrow_down: |
| [pandas/io/sas/sas7bdat.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXM3YmRhdC5weQ==) | `0% <0%> (-91.17%)` | :arrow_down: |
| [pandas/io/sas/sas\_xport.py](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfeHBvcnQucHk=) | `0% <0%> (-90.15%)` | :arrow_down: |
| ... and [131 more](https://codecov.io/gh/pandas-dev/pandas/pull/25607/diff?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25607?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/25607?src=pr&el=footer). Last update [26d991f...f762b74](https://codecov.io/gh/pandas-dev/pandas/pull/25607?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 The complex part is guessing what the data type is from the value. This is only a problem when adding a column in the info axis. This PR simply creates float columns and then the dtype is changed when the data is set. This is not ideal but this is what the codes already does for most of the data types. (using loc, you can't create a 'int' column). closing. happy to take a reorg on the code (the pre-cursor). but need consensus on the issue you are trying to close first.