Should DatetimeIndex indexing with strings ever raise KeyError?
With pandas 0.24:
```
In [1]: import pandas as pd

In [2]: s = pd.Series([1, 2, 3], pd.to_datetime(['2018-01-01', '2018-02-02T01:01', '2018-02-02T02:02']))

In [3]: s.loc['2018-01-01'].size
Out[3]: 1

In [4]: s.loc['2018-01-02'].size
Out[4]: 0

In [5]: s.loc['2018-02-02'].size
Out[5]: 2

In [6]: s.loc['2018-03-03'].size
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.Int64HashTable.get_item()

TypeError: an integer is required

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
   2601             try:
-> 2602                 return self._engine.get_loc(key)
   2603             except KeyError:

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine._date_check_type()

KeyError: '2018-03-03'

During handling of the above exception, another exception occurred:

TypeError                                 Traceback (most recent call last)
pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.Int64HashTable.get_item()

TypeError: an integer is required

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexes/datetimes.py in get_loc(self, key, method, tolerance)
    998         try:
--> 999             return Index.get_loc(self, key, method, tolerance)
   1000         except (KeyError, ValueError, TypeError):

~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
   2603             except KeyError:
-> 2604                 return self._engine.get_loc(self._maybe_cast_indexer(key))
   2605         indexer = self.get_indexer([key], method=method, tolerance=tolerance)

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine._date_check_type()

KeyError: '2018-03-03'

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.Int64HashTable.get_item()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.Int64HashTable.get_item()

KeyError: 1520035200000000000

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
   2601             try:
-> 2602                 return self._engine.get_loc(key)
   2603             except KeyError:

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

KeyError: Timestamp('2018-03-03 00:00:00')

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.Int64HashTable.get_item()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.Int64HashTable.get_item()

KeyError: 1520035200000000000

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexes/datetimes.py in get_loc(self, key, method, tolerance)
   1011                     stamp = stamp.tz_localize(self.tz)
-> 1012                 return Index.get_loc(self, stamp, method, tolerance)
   1013             except KeyError:

~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
   2603             except KeyError:
-> 2604                 return self._engine.get_loc(self._maybe_cast_indexer(key))
   2605         indexer = self.get_indexer([key], method=method, tolerance=tolerance)

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

pandas/_libs/index.pyx in pandas._libs.index.DatetimeEngine.get_loc()

KeyError: Timestamp('2018-03-03 00:00:00')

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
<ipython-input-6-92239fa9614e> in <module>()
----> 1 s.loc['2018-03-03'].size

~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexing.py in __getitem__(self, key)
   1498
   1499             maybe_callable = com.apply_if_callable(key, self.obj)
-> 1500             return self._getitem_axis(maybe_callable, axis=axis)
   1501
   1502     def _is_scalar_access(self, key):

~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexing.py in _getitem_axis(self, key, axis)
   1911         # fall thru to straight lookup
   1912         self._validate_key(key, axis)
-> 1913         return self._get_label(key, axis=axis)
   1914
   1915

~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexing.py in _get_label(self, label, axis)
    135             # but will fail when the index is not present
    136             # see GH5667
--> 137             return self.obj._xs(label, axis=axis)
    138         elif isinstance(label, tuple) and isinstance(label[axis], slice):
    139             raise IndexingError('no slices here, handle elsewhere')

~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/generic.py in xs(self, key, axis, level, drop_level)
   3573                                                       drop_level=drop_level)
   3574         else:
-> 3575             loc = self.index.get_loc(key)
   3576
   3577             if isinstance(loc, np.ndarray):

~/miniconda3/envs/xarray-py37/lib/python3.7/site-packages/pandas/core/indexes/datetimes.py in get_loc(self, key, method, tolerance)
   1012                 return Index.get_loc(self, stamp, method, tolerance)
   1013             except KeyError:
-> 1014                 raise KeyError(key)
   1015             except ValueError as e:
   1016                 # list-like tolerance size must match target index size

KeyError: '2018-03-03'
```
(side note: this is quite the traceback!)

Bizarrely, whether indexing with a string raises a KeyError or returns an array of size 0 depends upon the value.

But more generally, does it ever make sense to raise an error? It's arguably more consistent to only return size 0 arrays.

xref https://github.com/pandas-dev/pandas/issues/7827 and https://github.com/pydata/xarray/issues/2825