msgpack supports CategoricalIndex 
 - [x] closes #15487
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master | flake8 --diff``
 - [x] whatsnew entry

This allows `read_msgpack`  to read DataFrames with a categorical index. I'd assume that my testcase needs some improvement. Where can I find some information where and how to add the "whatsnew entry"?

