PERF: do not check for label presence preventively
- [x] closes #21593
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

ASV run:

```
       before           after         ratio
     [f1ffc5fa]       [0af738b0]
-         433±7μs          390±5μs     0.90  indexing.MultiIndexing.time_series_ix
-      79.0±0.9μs       53.1±0.8μs     0.67  indexing.IntervalIndexing.time_loc_scalar
-      66.3±0.8μs         42.7±2μs     0.64  indexing.NumericSeriesIndexing.time_loc_scalar(<class 'pandas.core.indexes.numeric.Int64Index'>)
-      86.9±0.4μs       54.7±0.2μs     0.63  indexing.NumericSeriesIndexing.time_loc_scalar(<class 'pandas.core.indexes.numeric.Float64Index'>)

SOME BENCHMARKS HAVE CHANGED SIGNIFICANTLY.
```

We don't check anymore if errors raised in indexing have to do with ordering different types (in Python 3)... but I can't think of any possible case (and none is present in the tests) in which looking for a single label could create a sorting problem.