Incoherence between Index and MultiIndex when labels in list are not found
#### Code Sample, a copy-pastable example if possible

```python
In [2]: s = pd.Series(range(4), index=pd.MultiIndex.from_product([[1,2], ['a', 'b']]))

In [3]: s.loc[['not', 'found']]
Out[3]: Series([], dtype: int64)
```
#### Problem description

With regular ``Index``es, looking for a list of labels of which none is present will raise ``KeyError`` (see below). We should be coherent (and while I would prefer the empty result to the exception, this was already discussed in #7999).

#### Expected Output

Compare to

``` python
In [4]: s.reset_index().loc[['not', 'found']]
---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)
<ipython-input-4-e13655430320> in <module>()
----> 1 s.reset_index().loc[['not', 'found']]

/home/nobackup/repo/pandas/pandas/core/indexing.py in __getitem__(self, key)
   1339         else:
   1340             key = com._apply_if_callable(key, self.obj)
-> 1341             return self._getitem_axis(key, axis=0)
   1342 
   1343     def _is_scalar_access(self, key):

/home/nobackup/repo/pandas/pandas/core/indexing.py in _getitem_axis(self, key, axis)
   1539                     raise ValueError('Cannot index with multidimensional key')
   1540 
-> 1541                 return self._getitem_iterable(key, axis=axis)
   1542 
   1543             # nested tuple slicing

/home/nobackup/repo/pandas/pandas/core/indexing.py in _getitem_iterable(self, key, axis)
   1049     def _getitem_iterable(self, key, axis=0):
   1050         if self._should_validate_iterable(axis):
-> 1051             self._has_valid_type(key, axis)
   1052 
   1053         labels = self.obj._get_axis(axis)

/home/nobackup/repo/pandas/pandas/core/indexing.py in _has_valid_type(self, key, axis)
   1429 
   1430                 raise KeyError("None of [%s] are in the [%s]" %
-> 1431                                (key, self.obj._get_axis_name(axis)))
   1432 
   1433             return True

KeyError: "None of [['not', 'found']] are in the [index]"

```

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

<details>
INSTALLED VERSIONS
------------------
commit: f65a6415f15d438432cc6954ead61b052c5d4d60
python: 3.5.2.final.0
python-bits: 64
OS: Linux
OS-release: 4.7.0-1-amd64
machine: x86_64
processor: 
byteorder: little
LC_ALL: None
LANG: it_IT.utf8
LOCALE: it_IT.UTF-8

pandas: 0.19.0+473.gf65a641
pytest: 3.0.6
pip: 8.1.2
setuptools: 28.0.0
Cython: 0.23.4
numpy: 1.12.0
scipy: 0.18.1
xarray: None
IPython: 5.1.0.dev
sphinx: 1.4.8
patsy: 0.3.0-dev
dateutil: 2.5.3
pytz: 2015.7
blosc: None
bottleneck: 1.2.0
tables: 3.2.2
numexpr: 2.6.0
feather: None
matplotlib: 2.0.0rc2
openpyxl: 2.3.0
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.3
lxml: 3.6.4
bs4: 4.5.1
html5lib: 0.999
httplib2: 0.9.1
apiclient: 1.5.2
sqlalchemy: 1.0.15
pymysql: None
psycopg2: None
jinja2: 2.8
s3fs: None
pandas_datareader: 0.2.1


</details>
