BUG: AssertionError when slicing MultiIndex and setting value of pandas.Series

#### Code Sample

```python
>>> import numpy as np
... import pandas as pd
... 
... arrays = [['bar', 'bar', 'baz', 'baz', 'foo', 'foo', 'qux', 'qux'],
...           ['one', 'two', 'one', 'two', 'one', 'two', 'one', 'two']]
... tuples = list(zip(*arrays))
... index = pd.MultiIndex.from_tuples(tuples, names=['first', 'second'])
... 
... s = pd.Series(np.random.randn(8), index=index)
>>>s
first  second
bar    one      -0.592576
       two      -0.054856
baz    one      -0.169856
       two      -0.712601
foo    one       2.180688
       two      -0.032646
qux    one      -0.729950
       two       0.883029
dtype: float64

>>> s[('baz', 'one'):('foo', 'two')] = 4  # This works!
>>> s
first  second
bar    one      -0.592576
       two      -0.054856
baz    one       4.000000
       two       4.000000
foo    one       4.000000
       two       4.000000
qux    one      -0.729950
       two       0.883029
dtype: float64

>>> s.loc[('baz', 'one'):('foo', 'two')] = 4  # This gives the error!
Traceback (most recent call last):
  File "/Users/edoardo/miniconda3/envs/my37/lib/python3.7/site-packages/pandas/core/indexes/base.py", line 2646, in get_loc
    return self._engine.get_loc(key)
  File "pandas/_libs/index.pyx", line 111, in pandas._libs.index.IndexEngine.get_loc
  File "pandas/_libs/index.pyx", line 138, in pandas._libs.index.IndexEngine.get_loc
  File "pandas/_libs/hashtable_class_helper.pxi", line 1619, in pandas._libs.hashtable.PyObjectHashTable.get_item
  File "pandas/_libs/hashtable_class_helper.pxi", line 1627, in pandas._libs.hashtable.PyObjectHashTable.get_item
KeyError: ('baz', 'one')
During handling of the above exception, another exception occurred:
Traceback (most recent call last):
  File "/Users/edoardo/miniconda3/envs/my37/lib/python3.7/site-packages/pandas/core/indexes/multi.py", line 2890, in _get_level_indexer
    start = level_index.get_loc(key.start)
  File "/Users/edoardo/miniconda3/envs/my37/lib/python3.7/site-packages/pandas/core/indexes/base.py", line 2648, in get_loc
    return self._engine.get_loc(self._maybe_cast_indexer(key))
  File "pandas/_libs/index.pyx", line 111, in pandas._libs.index.IndexEngine.get_loc
  File "pandas/_libs/index.pyx", line 138, in pandas._libs.index.IndexEngine.get_loc
  File "pandas/_libs/hashtable_class_helper.pxi", line 1619, in pandas._libs.hashtable.PyObjectHashTable.get_item
  File "pandas/_libs/hashtable_class_helper.pxi", line 1627, in pandas._libs.hashtable.PyObjectHashTable.get_item
KeyError: ('baz', 'one')
During handling of the above exception, another exception occurred:
Traceback (most recent call last):
  File "<input>", line 1, in <module>
  File "/Users/edoardo/miniconda3/envs/my37/lib/python3.7/site-packages/pandas/core/indexing.py", line 670, in __setitem__
    indexer = self._get_setitem_indexer(key)
  File "/Users/edoardo/miniconda3/envs/my37/lib/python3.7/site-packages/pandas/core/indexing.py", line 641, in _get_setitem_indexer
    return ax.get_loc(key)
  File "/Users/edoardo/miniconda3/envs/my37/lib/python3.7/site-packages/pandas/core/indexes/multi.py", line 2662, in get_loc
    loc = self._get_level_indexer(key, level=0)
  File "/Users/edoardo/miniconda3/envs/my37/lib/python3.7/site-packages/pandas/core/indexes/multi.py", line 2903, in _get_level_indexer
    key.start, key.stop, key.step, kind="loc"
  File "/Users/edoardo/miniconda3/envs/my37/lib/python3.7/site-packages/pandas/core/indexes/base.py", line 4717, in slice_indexer
    raise AssertionError("Start slice bound is non-scalar")
AssertionError: Start slice bound is non-scalar

```

#### Problem description

I'm trying to slice and set values of a pandas Series but using the loc function does not work. I can do it by simply using [] and using loc if the Series is first converted into a DataFrame.

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.7.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.5.0
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.UTF-8
pandas           : 1.0.4
numpy            : 1.18.1
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.1.1
setuptools       : 47.3.0.post20200616
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.5.0
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : 4.9.0
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.5.0
matplotlib       : 3.1.3
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None
numba            : None

</details>
