Fix regression in loc setitem raising KeyError when enlarging df with multiindex
- [x] closes #39147
- [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

The previous fix only viewed row indexers not column indexers