ENH: specificy missing labels in loc calls GH34272
- [ ] closes #34272
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

This should address #34272. 

Would it be useful to add max limit to the number of missing labels it would print? I think this will be handled better by the __str__ method of the Series class, already. thanks @timhunderwood very nice thanks, Happy to help!