BUG: MultiIndex.drop does not raise if labels are partially found

[phofl]

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• I have confirmed this bug exists on the latest version of pandas.

• (optional) I have confirmed this bug exists on the master branch of pandas.

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Code Sample, a copy-pastable example

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()

master