ERR: Raise ValueError when setting scalars in a dataframe with no index ( #16823)
 - [x] closes  #16823
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master -u -- "*.py" | flake8 --diff``
 - [x] whatsnew entry

Trying to set a column with an scalar value and no index now raises a ValueError, similar to the behaviour of the DataFrame constructor.
