title: Pandas 'Passing list-likes to .loc or [] with any missing labels is no longer supported' on train_test_split returned data
body: <p>For some reason train_test_split, despite lengths being identical and indexes look the same, triggers this error.</p>
  
  <pre><code>from sklearn.model_selection import KFold
  
  data = {'col1':[30.5,45,1,99,6,5,4,2,5,7,7,3], 'col2':[99.5, 98, 95, 90,1,5,6,7,4,4,3,3],'col3':[23, 23.6, 3, 90,1,9,60,9,7,2,2,1]} 
  df = pd.DataFrame(data)
  
  train, test = train_test_split(df, test_size=0.10)
  X = train[['col1', 'col2']]
  y2 = train['col3']
  
  X = np.array(X)
  
  kf = KFold(n_splits=3, shuffle=True)
  for train_index, test_index in kf.split(X):
      X_train, y_train = X[train_index], y[train_index]
  </code></pre>
  
  <p>y is a pandas Series (same length as x).
  x was a dataframe with about 20 numerical columns casted to numpy array.</p>
  
  <p>For some reason train_test_split triggers the error despite the lengths being identical.</p>
  
  <p>If i dont call train_test_split it works fine.</p>
  
  <p>the last line triggering the error due to trying to index numpy array this way:
  y[train_ind]</p>