assert_index_equal checks categories with check_categorical=False
The behavior of `assert_index_equal` should match `assert_series_equal` here with `check_categorical=False`.

```python
In [3]: import pandas.util.testing as tm

In [4]: import pandas as pd

In [5]: tm.assert_series_equal(
   ...:     pd.Series(pd.Categorical(['a', 'b'])),
   ...:     pd.Series(pd.Categorical(['a', 'b'], categories=['a', 'b', 'c'])),
   ...:     check_categorical=False
   ...: )

In [8]: tm.assert_index_equal(
   ...:     pd.Index(pd.Categorical(['a', 'b'])),
   ...:     pd.Index(pd.Categorical(['a', 'b'], categories=['a', 'b', 'c'])),
   ...:     check_categorical=False
   ...: )
```


```pytb
---------------------------------------------------------------------------
AssertionError                            Traceback (most recent call last)
<ipython-input-8-554e162c7f12> in <module>()
      2     pd.Index(pd.Categorical(['a', 'b'])),
      3     pd.Index(pd.Categorical(['a', 'b'], categories=['a', 'b', 'c'])),
----> 4     check_categorical=False
      5 )

~/sandbox/pandas-ip/pandas/pandas/util/testing.py in assert_index_equal(left, right, exact, check_names, check_less_precise, check_exact, check_categorical, obj)
    798
    799     # class / dtype comparison
--> 800     _check_types(left, right, obj=obj)
    801
    802     # level comparison

~/sandbox/pandas-ip/pandas/pandas/util/testing.py in _check_types(l, r, obj)
    779         if exact:
    780             assert_class_equal(left, right, exact=exact, obj=obj)
--> 781             assert_attr_equal('dtype', l, r, obj=obj)
    782             # allow string-like to have different inferred_types
    783             if l.inferred_type in ('string', 'unicode'):

~/sandbox/pandas-ip/pandas/pandas/util/testing.py in assert_attr_equal(attr, left, right, obj)
    921     else:
    922         msg = 'Attribute "{attr}" are different'.format(attr=attr)
--> 923         raise_assert_detail(obj, msg, left_attr, right_attr)
    924
    925

~/sandbox/pandas-ip/pandas/pandas/util/testing.py in raise_assert_detail(obj, message, left, right, diff)
   1006         msg += "\n[diff]: {diff}".format(diff=diff)
   1007
-> 1008     raise AssertionError(msg)
   1009
   1010

AssertionError: Index are different

Attribute "dtype" are different
[left]:  CategoricalDtype(categories=['a', 'b'], ordered=False)
[right]: CategoricalDtype(categories=['a', 'b', 'c'], ordered=False)
```