BUG: to_coo silently converting non-zero fill values
- [X] closes #24817 
- [X] tests added / passed
- [X] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [X] whatsnew entry

Thanks @saehuihwang! As a potential followup if interested, this issue might be present for the `Series` case too