BUG/TST raise a more detailed error when GH6169 occurs, added a test
Raise a detailed error when a `columns` argument is passed through 'where' to
select a multiIndexed Dataframe from an HDF store. Wrote a test
showcasing the bug

```
modified:   pandas/io/pytables.py
modified:   pandas/io/tests/test_pytables.py
```

closing in favor of #6202 

@glyg I took your tests and fixed the issue, was a bit non-trivial as the column selection is done in a non obvious way

thanks!
 you're welcome!
 and as always...pls report any further issues!
