BUG: Index doesn't take over the Categorical name
`Series` can take over the `Categorical.name`.

```
import pandas as pd
c = pd.Categorical([1, 2, 3], name='xxx')
pd.Series(c)
#0    1
#1    2
#2    3
# Name: xxx, dtype: category
# Categories (3, int64): [1, 2, 3]
```

But `Index` doesn't.

```
pd.Index(c)
# CategoricalIndex([1, 2, 3], categories=[1, 2, 3], ordered=False, dtype='category')
pd.CategoricalIndex(c)
# CategoricalIndex([1, 2, 3], categories=[1, 2, 3], ordered=False, dtype='category')
```
