BUG: loc raises inconsistent error on unsorted MultiIndex
- [x] closes #12660 
- [x] tests added / passed
- [x] passes `git diff upstream/master | flake8 --diff`
- [x] whatsnew entry

.loc was fixed to always raise a KeyError with a helpful error message when called on an unsorted MultiIndex DataFrame

Tests ran fine the last time I checked, but if I run them with the latest upstream now I get a totally unrelated ImportError error - I assume it is not related to my changes. Btw this is my first real contribution to a large open source project, I tried to pay attention to everything but let me know if anything needs to be improved!
