BUG: category index levels casted to non-category dtype in merge
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [x] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
# Your code here
import pandas as pd

df1 = pd.DataFrame({'x': [i for i in range(100)], 'y': [i for i in range(100)],
                    'z': [i for i in range(100)], 'd': [i for i in range(100)]})

df2 = df1.astype({"x":'category', "y":'category', "z":'category'})

df3 = df2.iloc[:10, :].groupby(['z', 'x'], observed=True).agg({'d': 'sum'})
df4 = df2.iloc[90:, :].groupby(['z', 'x', 'y'], observed=True).agg({'d': 'sum'})

pd.merge(df3, df4, left_index=True, right_index=True,
         how='outer').index.to_frame().dtypes

```

#### Problem description

I have 2 data frames, df3, and df4. Index of df3 is z, x and index of df4 is z, x, y. 
All x, y, z are categorical, and index x is of the same category-dtype in df3 as in df4, since df3 and df4 are created from groupby on the same data frame df2. For the same reason, index z is of the same category-dtype in df3 as in df4. 
So, I think after the merge, index x and z should stay as category. 
But they are not, this is what I get:

z       int64
x       int64
y    category
dtype: object

#### Expected Output

z    category
x    category
y    category
dtype: object

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : f2ca0a2665b2d169c97de87b8e778dbed86aea07
python           : 3.8.5.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.18362
machine          : AMD64
processor        : Intel64 Family 6 Model 94 Stepping 3, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : English_United States.1252
pandas           : 1.1.1
numpy            : 1.19.0
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.3
setuptools       : 47.1.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.5.1
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.18.1
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.2.2
numexpr          : None
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.0
sqlalchemy       : 1.3.18
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
