BUG: MultiIndex.drop does not raise if labels are partially found
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

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

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#### Code Sample, a copy-pastable example

```python
mi = MultiIndex.from_tuples([(1, 2), (2, 2), (3, 2)])
mi.drop([1, 4], level=0) # does not raise
mi.drop(4, level=0) # raises


```

#### Problem description
The docs say
```
Raises

    KeyError

        If not all of the labels are found in the selected axis

```
I think both statements should raise ``KeyError``
https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.Index.drop.html

#### Expected Output

Both are raising ``KeyError: 'labels [4] not found in level'``

For regular Indexes this holds True

```
index = Index([1, 2])
index.drop([1, 3]) # Raises
```

#### Output of ``pd.show_versions()``

<details>

master

</details>
