BUG: changed behavior of df.loc on multiindex since 1.3.0
### 

- [X] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the [latest version](https://pandas.pydata.org/docs/whatsnew/index.html) of pandas.

- [ ] I have confirmed this bug exists on the master branch of pandas.


### Reproducible Example

```python
import pandas as pd
import numpy as np

df = pd.DataFrame(index=pd.MultiIndex.from_product([list('ab'), list('cd'), list('e')]), columns=['Val'])

df.loc[np.s_[:,'c',:]]
```


### Issue Description

for versions later than 1.3, this selection will keep the second level in the index. But for versions earlier than 1.3, the 2nd level will be dropped:

![image](https://user-images.githubusercontent.com/48577571/133558540-8e3f367c-6a54-4fae-b59e-844bf1c0c9a9.png)

![image](https://user-images.githubusercontent.com/48577571/133558566-51d5de84-db81-48e0-a0cd-747f7cfe73c6.png)

![image](https://user-images.githubusercontent.com/48577571/133558586-a57a13e2-7651-42e1-af3e-ec574d464083.png)


### Expected Behavior

I've read the release notes of 1.3 but can't find a documentation about this. Is this a changed behavior?

### Installed Versions

<details>

INSTALLED VERSIONS
------------------
commit           : 7c48ff4409c622c582c56a5702373f726de08e96
python           : 3.8.10.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.15.0-156-generic
Version          : #163-Ubuntu SMP Thu Aug 19 23:31:58 UTC 2021
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.2.5
numpy            : 1.20.3
pytz             : 2021.1
dateutil         : 2.8.2
pip              : 21.2.4
setuptools       : 58.0.4
Cython           : 0.29.23
pytest           : 6.2.4
hypothesis       : None
sphinx           : 4.1.2
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.6.2
html5lib         : 1.1
pymysql          : 0.9.3
psycopg2         : 2.8.6 (dt dec pq3 ext lo64)
jinja2           : 3.0.1
IPython          : 7.27.0
pandas_datareader: 0.9.0
bs4              : 4.9.3
bottleneck       : None
fsspec           : 0.8.5
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.3
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.5
pandas_gbq       : None
pyarrow          : 4.0.1
pyxlsb           : None
s3fs             : None
scipy            : 1.7.1
sqlalchemy       : 1.4.17
tables           : 3.6.1
tabulate         : None
xarray           : None
xlrd             : 2.0.1
xlwt             : None
numba            : 0.54.0

INSTALLED VERSIONS
------------------
commit           : 73c68257545b5f8530b7044f56647bd2db92e2ba
python           : 3.8.10.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.15.0-156-generic
Version          : #163-Ubuntu SMP Thu Aug 19 23:31:58 UTC 2021
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.3.3
numpy            : 1.20.3
pytz             : 2021.1
dateutil         : 2.8.2
pip              : 21.2.4
setuptools       : 58.0.4
Cython           : 0.29.23
pytest           : 6.2.4
hypothesis       : None
sphinx           : 4.1.2
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.6.2
html5lib         : 1.1
pymysql          : 0.9.3
psycopg2         : 2.8.6 (dt dec pq3 ext lo64)
jinja2           : 3.0.1
IPython          : 7.27.0
pandas_datareader: 0.9.0
bs4              : 4.9.3
bottleneck       : None
fsspec           : 0.8.5
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.3
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.5
pandas_gbq       : None
pyarrow          : 4.0.1
pyxlsb           : None
s3fs             : None
scipy            : 1.7.1
sqlalchemy       : 1.4.17
tables           : 3.6.1
tabulate         : None
xarray           : None
xlrd             : 2.0.1
xlwt             : None
numba            : 0.54.0

</details>
