Allows loc to create multiple new index
- [x] closes #25594
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Starting in 0.21.0, using .loc or [] with a list with one or more missing labels, is deprecated. In the doc, only getting is shown:
https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#indexing-with-list-with-missing-labels-is-deprecated

As argued in #25594, this should not be the case for setting. This PR is therefore adding the possibility of adding index and columns when setting with array-like index.

If the axis is a MultiIndex, the expected result is not trivial, and is therefore not covered in this PR.