BUG: Inconsistent behaviour for DataFrame.value_counts and Series.value_counts on categoricals
### 

- [X] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the [latest version](https://pandas.pydata.org/docs/whatsnew/index.html) of pandas.

- [ ] I have confirmed this bug exists on the master branch of pandas.


### Reproducible Example

```python
import pandas as pd

df = (pd.DataFrame({'gender' : ['male', 'female', 'male', 'female', 'male'],
                  'country': ['BR', 'BR', 'US', 'BR', 'US']})
      .astype('category') 
     )
df.value_counts() # drops all empty categories
# gender  country
# female  BR         2
# male    US         2
#         BR         1
# dtype: int64

# also compare
(df
 .query("country != 'BR'")
 .value_counts()
) # drops non-observed categories
# gender  country
# male    US         2
# dtype: int64

(df
 .query("country != 'BR'")
 ['gender']
 .value_counts()
) # shows 0 for non-observed catgories
# male      2
# female    0
# Name: gender, dtype: int64
```


### Issue Description

`DataFrame.value_counts()` drops any non observed categories while `Series.value_counts()` shows 0 for non-observed categories.

There was some discussion about the zeroes for `Series.value_counts()` in this issue https://github.com/pandas-dev/pandas/issues/8559, based on that I checked behaviour in R which also keeps the zeros:
``` r
  gender <- factor(c('male', 'female', 'male', 'female', 'male'))
  country <- factor( c( 'BR', 'BR', 'US', 'BR', 'US') )
df <- data.frame(gender=gender, country=country)
table(df)
#>         country
#> gender   BR US
#>   female  2  0
#>   male    1  2
```


### Expected Behavior

The following work-around gives the expected behaviour:
```py
df.groupby("gender").country.value_counts()
# gender    
# female  BR    2
#         US    0
# male    US    2
#         BR    1
# Name: country, dtype: int64
```
This fails however for more than two categorical variables.


### Installed Versions

<details>

INSTALLED VERSIONS
------------------
commit           : 73c68257545b5f8530b7044f56647bd2db92e2ba
python           : 3.9.7.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.6.0
Version          : Darwin Kernel Version 19.6.0: Thu Sep 16 20:58:47 PDT 2021; root:xnu-6153.141.40.1~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.UTF-8

pandas           : 1.3.3
numpy            : 1.21.2
pytz             : 2021.1
dateutil         : 2.8.2
pip              : 21.2.4
setuptools       : 58.0.4
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : 7.27.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
