Wrong behavior and/or error message when assigning row with empty columns
#### Code Sample, a copy-pastable example if possible

```python
In [2]: df = pd.DataFrame(index=[1,2,3])

In [3]: df.loc[1] = 3

In [4]: df
Out[4]: 
Empty DataFrame
Columns: []
Index: [1, 2, 3]

In [5]: df.loc[4] = 3
---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-5-fe31ec4a62f3> in <module>()
----> 1 df.loc[4] = 3

/home/nobackup/repo/pandas/pandas/core/indexing.py in __setitem__(self, key, value)
    192             key = com._apply_if_callable(key, self.obj)
    193         indexer = self._get_setitem_indexer(key)
--> 194         self._setitem_with_indexer(indexer, value)
    195 
    196     def _has_valid_type(self, k, axis):

/home/nobackup/repo/pandas/pandas/core/indexing.py in _setitem_with_indexer(self, indexer, value)
    421                     # no columns and scalar
    422                     if not len(self.obj.columns):
--> 423                         raise ValueError("cannot set a frame with no defined "
    424                                          "columns")
    425 

ValueError: cannot set a frame with no defined columns


```
#### Problem description

Either #17894 is accepted, and then ``In [5]:`` should just expand the index, and not raise an error...

... or it is not accepted, and then ``In [3]:`` should raise.

In particular, the error message of ``In [5]:`` is misleading: one _can_ "set" a frame with no defined columns, as long as the label is in the index.

#### Expected Output

Depends on #17894 .

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit: 5bf7f9a4ff6968fd444fa7098f8dc95586591994
python: 3.5.3.final.0
python-bits: 64
OS: Linux
OS-release: 4.9.0-3-amd64
machine: x86_64
processor: 
byteorder: little
LC_ALL: None
LANG: it_IT.UTF-8
LOCALE: it_IT.UTF-8

pandas: 0.21.0rc1+18.g5bf7f9a4f
pytest: 3.0.6
pip: 9.0.1
setuptools: None
Cython: 0.25.2
numpy: 1.12.1
scipy: 0.19.0
pyarrow: None
xarray: None
IPython: 5.1.0.dev
sphinx: 1.5.6
patsy: 0.4.1
dateutil: 2.6.0
pytz: 2017.2
blosc: None
bottleneck: 1.2.1
tables: 3.3.0
numexpr: 2.6.1
feather: 0.3.1
matplotlib: 2.0.0
openpyxl: None
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.6
lxml: None
bs4: 4.5.3
html5lib: 0.999999999
sqlalchemy: 1.0.15
pymysql: None
psycopg2: None
jinja2: 2.9.6
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: 0.2.1


</details>
