BUG: SparseDataFrame indexing may return normal Series
- [x] related to #4400 (not close yet)
- [x] tests added / passed
- [x] passes `git diff upstream/master | flake8 --diff`
- [x] whatsnew entry

Found a below bug in `SparseDataFrame` indexing.

```
# NG, must be SparseSeries
df = pd.DataFrame([[1, 2], [np.nan, 4]]).to_sparse()
type(df.loc[0])  
# pandas.core.series.Series
```

Rebased, and now green.
 thanks!
