BUG: Series.at returning Series with one element instead of scalar
- [x] closes #38053
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

I think if we are at this place and len(values) is 1, we want to return a scalar instead of a Series. This happens only because loc is a slice (0,1) with one MultiIndex level instead of a scalar.

Should I create a file to move all MultiIndex at tests to the MultiIndex folder?