BUG: MultiIndex assignment via loc
- [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.

---

The behavior of assignment via `loc` seems to have changed as of `1.0.0`.

```python
import pandas

TS = pandas.Timestamp

s = pandas.DataFrame([
    ["A1", TS("2020-06-15"), -573.75],
    ["A2", TS("2020-06-15"), -198.75],
    ["A3", TS("2020-06-15"), -1.25],
], columns=["sid", "date", "price"]).set_index(["sid", "date"])["price"]
s.loc[[]] = 0
print(s)
```

```
sid  date      
A1   2020-06-15    0.0
A2   2020-06-15    0.0
A3   2020-06-15    0.0
Name: price, dtype: float64
```

I would expect this to behave the same as in in `0.25.3` which would assign nothing. I assume this is a bug because I can't find any discussion of the changed behavior in the [Changelog](https://pandas.pydata.org/pandas-docs/stable/whatsnew/v1.0.0.html).

Note that selection or assignment without a `MultiIndex` behavior appears to be unchanged, i.e.

```python
print(s.loc[[]])
```
```
Series([], dtype: int64)
```
```python
s = pandas.DataFrame([
    ["A1", -573.75],
    ["A2", -198.75],
    ["A3", -1.25],
], columns=["sid", "price"]).set_index(["sid"])["price"]
s.loc[[]] = 0
print(s)
```
```
sid
A1   -573.75
A2   -198.75
A3     -1.25
Name: price, dtype: float64
```


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

<details>

INSTALLED VERSIONS
------------------
commit           : 068e6542b0b28d80d8ea5953b6a49a2608f6a541
python           : 3.8.5.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.4.0-42-generic
Version          : #46~18.04.1-Ubuntu SMP Fri Jul 10 07:21:24 UTC 2020
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.2.0.dev0+141.g068e6542b
numpy            : 1.19.1
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.2
setuptools       : 49.6.0.post20200814
Cython           : 0.29.21
pytest           : 6.0.1
hypothesis       : 5.27.0
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : 7.17.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None


</details>
