PERF: do not check for label presence preventively
- [x] closes #21593
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

ASV run:

```
       before           after         ratio
     [f1ffc5fa]       [0af738b0]
-         433±7μs          390±5μs     0.90  indexing.MultiIndexing.time_series_ix
-      79.0±0.9μs       53.1±0.8μs     0.67  indexing.IntervalIndexing.time_loc_scalar
-      66.3±0.8μs         42.7±2μs     0.64  indexing.NumericSeriesIndexing.time_loc_scalar(<class 'pandas.core.indexes.numeric.Int64Index'>)
-      86.9±0.4μs       54.7±0.2μs     0.63  indexing.NumericSeriesIndexing.time_loc_scalar(<class 'pandas.core.indexes.numeric.Float64Index'>)

SOME BENCHMARKS HAVE CHANGED SIGNIFICANTLY.
```

We don't check anymore if errors raised in indexing have to do with ordering different types (in Python 3)... but I can't think of any possible case (and none is present in the tests) in which looking for a single label could create a sorting problem.
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21594?src=pr&el=h1) Report
> Merging [#21594](https://codecov.io/gh/pandas-dev/pandas/pull/21594?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/f1aa08c4631aea435d66c161557e44f7c72a618e?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/21594/graphs/tree.svg?width=650&height=150&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/21594?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #21594      +/-   ##
==========================================
+ Coverage    91.9%    91.9%   +<.01%     
==========================================
  Files         153      153              
  Lines       49547    49530      -17     
==========================================
- Hits        45537    45523      -14     
+ Misses       4010     4007       -3
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.3% <100%> (ø)` | :arrow_up: |
| #single | `41.79% <50%> (+0.01%)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/21594?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/21594/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `93.73% <100%> (+0.36%)` | :arrow_up: |
| [pandas/core/indexes/category.py](https://codecov.io/gh/pandas-dev/pandas/pull/21594/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9jYXRlZ29yeS5weQ==) | `97.01% <0%> (-0.28%)` | :arrow_down: |
| [pandas/core/indexes/multi.py](https://codecov.io/gh/pandas-dev/pandas/pull/21594/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9tdWx0aS5weQ==) | `94.88% <0%> (-0.09%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21594?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/21594?src=pr&el=footer). Last update [f1aa08c...0b499c5](https://codecov.io/gh/pandas-dev/pandas/pull/21594?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @jreback added a couple of comments, ready for me thanks @toobaz nice code removal! keep em coming!