API: loc indexing with nested sequence raise on missing
I think the current behavior is left over from the long long ago.

```
mi = pd.MultiIndex.from_product([range(3), ["A", "B"]])
ser = pd.Series(len(mi), index=mi)

>>> ser.loc[1, ["A", "B", "not a key"]]
1  A    6
   B    6
dtype: int64

>>> ser.loc[[99999], ["A", "B"]]
Series([], dtype: int64)

>>> ser.loc[[99999]]
KeyError: '[99999] not in index'
```

I think we should deprecate this and eventually raise like we would with any other missing label.
