[BUG]: Fix bug in MultiIndex.drop dropped nan when non existing key was given
- [x] closes #18853
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Additional question:
The doc says (https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.Index.drop.html) that ``drop`` raises when not all labels are found, but
```
pd.DataFrame(index=pd.MultiIndex.from_product([range(3), range(3)])).drop([1, 5], level=0)
```
does not raise, because ``1`` is found. Should we implement, that it raises every time when at least one of the keys is not found?
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 2020-11-13 13:20:13 UTC cc @jreback failure unrelated. Greenish thanks @phofl 