BUG: setting on a frame without an index silently was failing, related (GH5226)

related to #5226

the following would previously silently fail:

```
In [3]: df = DataFrame(columns=['A','B'])

In [4]: df[0] = Series(1,index=range(4))

In [5]: df
Out[5]: 
     A    B  0
0  NaN  NaN  1
1  NaN  NaN  1
2  NaN  NaN  1
3  NaN  NaN  1
```