dtype does not get set to object when adding column with df.at[...] = ['some list']
#### Code Sample, a copy-pastable example if possible

```python
df = pd.DataFrame(data={'a':[0,0]})
# df['b'] = None
# df['b'] = df['b'].astype('object')
df.at[0, 'b'] = ['a']
df.at[1, 'b'] = ['a']

>>> df
   a    b
0  0    a
1  0  [a]
```
#### Problem description

df.at[0, 'b'] should be ['a'] instead of 'a'.
I understand that it does not work when while adding the column but it feels inconsistent anyways.
When adding line 2 and 3 it works as expected.

#### Expected Output
```python
>>> df
   a    b
0  0  [a]
1  0  [a]
```
#### Output of ``pd.show_versions()``

<details>


INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.6.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 94 Stepping 3, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 0.25.3
numpy            : 1.18.0
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 19.3.1
setuptools       : 41.2.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.10.3
IPython          : 7.10.2
pandas_datareader: None
bs4              : None
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : None
tables           : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None

</details>
