BUG: indexing with missing labels deprecation not applied to MultiIndex
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [x] (optional) I have confirmed this bug exists on the master branch of pandas.

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#### Code Sample, a copy-pastable example

```python
df = pd.DataFrame({("z","a"): [1, 2, 3], ("z","b"):[4, 5, 6]})
df.loc[pd.IndexSlice[:, pd.IndexSlice["z", ["a", "b", "c"]]]]  # works: DataFrame with columns 'a' and 'b'.

df = pd.DataFrame({("a"): [1, 2, 3], ("b"):[4, 5, 6]})
df.loc[pd.IndexSlice[:, pd.IndexSlice[["a", "b", "c"]]]]  # KeyError: missing label 'c'
```

#### Problem description

Should this behaviour be consistent?
A recent decision to move to KeyError: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#deprecate-loc-reindex-listlike

#### Expected Output

Both return KeyError?

This can be linked to #32125 also.