BUG: Fix bug in loc setitem changing the dtype when condition is False
- [x] closes #37550
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry


This fixes the bug, but I am not sure, if the solution is good enough....