TST: Test Loc to set Multiple Items to multiple new columns
- [x] closes #25594
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry
added test to pandas/tests/indexing/multi/test_loc.py