Fix legend yerr
- [x] closes #40044
- [x] xref #39522
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

I spent several hours on this, and I don't think there's a simple solution at the moment (though I'd love to be proved wrong!)

Background: 

in Nov 2017, #18222 was opened, in which it was noted that marker info isn't preserved in legends. This is because we were getting legend handles using `leg.legendHandles`:

https://github.com/pandas-dev/pandas/blob/b623a9df3cf3d69fbdddab0f02a03ad69281c8b0/pandas/plotting/_matplotlib/core.py#L574

Due to [an open issue in matplotlib](https://github.com/matplotlib/matplotlib/issues/11357), `leg.legendHandles` doesn't preserve marker info. So, in #27808, the code was updated to use `ax.get_legend_handles_labels`:

https://github.com/pandas-dev/pandas/blob/5d3b492743e199e82e3018bb943545181ed0018f/pandas/plotting/_matplotlib/core.py#L604

This preserves marker info _but_ has the problem that it may contain additional objects which aren't visible in the legend. The result of this is the permutations observed in #39522 . 

I think that having wrong colours in the legend, as in #39522 and #40044, is _far_ worse than the legend not preserving marker info. Solving everything together doesn't currently seem doable, at least not until https://github.com/matplotlib/matplotlib/issues/11357 is solved in matplotlib.

So my suggestion is to revert some of the changes in #27808, so that at least the colors are right, and when the matplotlib issue is addressed, then the marker info can be preserved.

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#39522 on master:

![image](https://user-images.githubusercontent.com/33491632/113511085-fdef2880-9555-11eb-9aa1-afb1f4850a7c.png)

on this branch:

![image](https://user-images.githubusercontent.com/33491632/113511072-ed3eb280-9555-11eb-8616-f04771aa9ceb.png)

---

#40044 on master:

![image](https://user-images.githubusercontent.com/33491632/113511142-3b53b600-9556-11eb-8494-2943f070d862.png)

on this branch:

![image](https://user-images.githubusercontent.com/33491632/113511157-4c042c00-9556-11eb-944f-f11b5ce07da5.png)

is  #39522 closed? (or partial) @jreback it's only a partial fix of #39522 , as the marker info isn't preserved

> can you move other legend tests here? (if we have them)

Sure, though for ease of review, should I do that in a follow-up PR? > Sure, though for ease of review, should I do that in a follow-up PR?

either way OK, have moved those tests over in this pr @jreback  thanks @MarcoGorelli very nice!