Bug in loc raised Error when non-integer slice was given for MultiIndex
- [x] closes #25165
- [x] closes #24263
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

A slice return caused issues everywhere, when this function was used. So I unpacked it right in there.
Hello @phofl! 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 2020-11-24 18:33:22 UTC fixing #24263 was quite tricky. Have to return the slice here, because the codes do not equal our start value. I thinkt there is no other way as checking for slice outside of the function @jreback im about to turn in, pls ping me on these indexing PRs to review in the AM Hm the test I fixed was wrong previously I think this looks fine, can you rebase and ping on green @jreback green thanks @phofl very nice