DEPR: inplace dtype-changing methods on Categorical
- [x] `Categorical.remove_unused_categories` https://github.com/pandas-dev/pandas/pull/37918
- [x] `Cateogrical.remove_categories`  #37981 
- [x] `Categorical.add_categories` https://github.com/pandas-dev/pandas/pull/41118
- [x] `Categorical.reorder_categories` https://github.com/pandas-dev/pandas/pull/41133
- [x] `Categorical.rename_categories` #41186
- [x] `Categorical.set_categories` https://github.com/pandas-dev/pandas/pull/41307

The ability to alter an existing array's dtype is a footgun.  We can return a new object without having to make a copy.