BUG: Bug in DataFrame.loc for setitem changed dtype when setting more than one column
- [x] closes #18415
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Could not find a reason why we should convert the dtype to object, if values is already an array.