Bug in setitem raising ValueError with row-slice indexer on df with list-like on rhs
- [x] closes #40440
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

I'll adress the IntegerArray case from #40933 after this is merged