BUG: Slicing non monotonic DatetimeIndex did not raise for non-existing keys
- [x] closes #18531
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The test for historical reasons :) failed after the change. Is this a problem?
