BUG: Explicitly declaring columns when using loc does not produce a SettingWithCopyWarning
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

---

#### Code Sample, a copy-pastable example

``` python
import pandas as pd

# Create mock dataframe
df = pd.DataFrame({
    'a': [1, 2, 3, 4]
})
m = df['a'].eq(2)

new_df1 = df[m]
# <weakref at 0x00000213E01C5090; to 'DataFrame' at 0x00000213DE9C6FD0>
print(new_df1._is_copy)
# SettingWithCopyWarning (expected)
new_df1['b'] = 1

new_df2 = df.loc[m]
# <weakref at 0x00000213E01C5090; to 'DataFrame' at 0x00000213DE9C6FD0>
print(new_df2._is_copy)
# SettingWithCopyWarning (unexpected)
new_df2['c'] = 1

new_df3 = df.loc[m, :]
# <weakref at 0x00000213E01C5090; to 'DataFrame' at 0x00000213DE9C6FD0>
print(new_df3._is_copy)
# SettingWithCopyWarning (unexpected)
new_df3['d'] = 1

new_df4 = df.loc[m, df.columns]
# None
print(new_df4._is_copy)
# No SettingWithCopyWarning (expected?)
new_df4['e'] = 1
```

#### Problem description

I expect that `df[m]` would produce a weakref, but I don't understand why I'm getting a weakref for the `loc` options where columns are not explicitly defined.


The issue being that:

``` python
new_df2 = df.loc[m]
new_df2['b'] = 1
```

and 

``` python
new_df3 = df.loc[m, :]
new_df3['c'] = 1
```

Both warn:
``` python-traceback
SettingWithCopyWarning: 
A value is trying to be set on a copy of a slice from a DataFrame.
Try using .loc[row_indexer,col_indexer] = value instead

See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy
  self._set_item(key, value)
```

I couldn't find any documentation saying that columns must be explicitly defined when using `loc` to not produce a copy, although all of the examples in the docs on [Why does assignment fail when using chained indexing?](https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#why-does-assignment-fail-when-using-chained-indexing) _do_ explicitly declare the column or columns.

#### Expected Output

I would expect not to get a `SettingWithCopyWarning` especially since `:` works when slicing the Index:
``` python
filtered_df = df.loc[:, ['a']]
print(filtered_df._is_copy)  # None
filtered_df['b'] = 1  # No Warning
```



#### Output of ``pd.show_versions()``

Confirmed on Windows
<details>

INSTALLED VERSIONS
------------------
commit           : f00ed8f47020034e752baf0250483053340971b0
python           : 3.9.6.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.19042
machine          : AMD64
processor        : Intel64 Family 6 Model 60 Stepping 3, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : English_United States.1252

pandas           : 1.3.0
numpy            : 1.21.1
pytz             : 2021.1
dateutil         : 2.8.1
pip              : None
setuptools       : None
Cython           : None
pytest           : 6.2.4
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.6.3
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 3.0.1
IPython          : 7.22.0
pandas_datareader: 0.9.0
bs4              : 4.9.3
bottleneck       : None
fsspec           : 2021.05.0
fastparquet      : None
gcsfs            : None
matplotlib       : 3.4.2
numexpr          : None
odfpy            : None
openpyxl         : 3.0.7
pandas_gbq       : None
pyarrow          : 3.0.0
pyxlsb           : None
s3fs             : None
scipy            : 1.6.2
sqlalchemy       : None
tables           : None
tabulate         : 0.8.9
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>

Confirmed On Mac

<details>

INSTALLED VERSIONS
------------------
commit           : f00ed8f47020034e752baf0250483053340971b0
python           : 3.9.2.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 20.5.0
Version          : Darwin Kernel Version 20.5.0: Sat May  8 05:10:31 PDT 2021; root:xnu-7195.121.3~9/RELEASE_ARM64_T8101
machine          : arm64
processor        : arm
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : en_US.UTF-8

pandas           : 1.3.0
numpy            : 1.21.1
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.1.3
setuptools       : 54.2.0
Cython           : 0.29.22
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.4.2
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>
