Bug in loc did not raise KeyError when missing combination with slice(None) was given
- [x] closes #19556
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Additional question: When an non existent key is given for ``get_locs`` it raises a ``KeyError``. When just a missing combination of keys is given (``(b,1)`` in the new test), while the individual keys exist, an empty array is returned. Is this the expected behavior?