## DO NOT MERGE. BUG: Fix .dropna() functionality for categorical indices
- [x] closes #25087
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

The last whatsnew is https://github.com/pandas-dev/pandas/blob/master/doc/source/whatsnew/v0.24.0.rst
