Multi-dimensional Index indexing followups
* Avoid DeprecationWarning followed by exception: https://github.com/pandas-dev/pandas/pull/30588#discussion_r364930269
* Update tests to filter warnings in plotting https://github.com/pandas-dev/pandas/pull/30588/files/74dffbedacb34bde7e5a8fb2396e0fef9efac499#diff-4b6d08e53050950f83ea75e432302f89
* Change CategoricalIndex behavior to raise, matching IntervalIndex https://github.com/pandas-dev/pandas/pull/30588#discussion_r364924210
* Deprecate it in `Series.__getitem__` as well, similar to `Index.__getitem__`