BUG: dangerous inconsistency when setting values on slice of multi-index
- [ 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.

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

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

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

```python
df = pd.DataFrame(
    [[1, 2], [3, 4], [5, 6], [7, 8]], 
    index=pd.MultiIndex.from_product([['a', 'b'], [0, 1]]))

In [137]: df
Out[137]: 
     0  1
a 0  1  2
  1  3  4
b 0  5  6
  1  7  8

df2 = pd.DataFrame([[9, 10], [11, 12]], index=[1, 0])

In [139]: df2
Out[139]: 
    0   1
1   9  10
0  11  12

df.loc[('a', df2.index), :] = df2.values

In [141]: df
Out[141]: 
      0   1
a 0   9  10
  1  11  12
b 0   5   6
  1   7   8
```

#### Problem description
When assigning to `df` in the last step, I use the index of `df2` to correctly align the rows of the two DataFrames, i.e., to select the order of elements in `df` to assign to. It turns out that this order is ignored in MultiIndex indexing. I believe this is dangerous, because `df2.values` on the right hand side is the only way to pass the values in `df2` to `df` as long as `df2` hasn't got the same levels as `df` (cf. #10440). Unsuspecting users who believe that MultiIndex indexing will work as indexing on a normal Index (I haven't found a warning about this in the docs) will most likely miss that their values have been sorted unexpectedly.

#### Expected Output
```python
In [141]: df
Out[141]: 
      0   1
a 0  11  12
  1   9  10
b 0   5   6
  1   7   8
```

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

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.6.final.0
python-bits      : 64
OS               : Windows
OS-release       : 7
machine          : AMD64
processor        : Intel64 Family 6 Model 42 Stepping 7, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : de_DE.UTF-8
LOCALE           : None.None

pandas           : 1.0.3
numpy            : 1.18.1
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.0.2
setuptools       : 46.1.3.post20200330
Cython           : None
pytest           : 5.3.4
hypothesis       : None
sphinx           : 3.0.3
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.13.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : None
matplotlib       : 3.1.3
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : 5.3.4
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : 1.3.13
tables           : 3.6.1
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : None
xlsxwriter       : None
numba            : None

</details>
