BUG: adding a value not in the Categories does not raise a ValueError on a Series when adding the value to a new index
- [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.

- [  ] (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
s = pd.Series(['a' , 'b'], dtype='category')
>>>
0    a
1    b
dtype: category
Categories (2, object): [a, b]

# this is expected, cannot assign a value not in the category
s.loc[1] = 'c'
>>>
ValueError: Cannot setitem on a Categorical with a new category, set the categories first

# this is NOT expected. not only it assigns a value not the in the category, but it also implicitly
# change the dtype
s.loc[2] = 'c'
>>>
0    a
1    b
2    c
dtype: object

```

#### Problem description

Assigning a value not in the category to an index already in the Series show a different behavior than when the index is not already in the Series. 

This looks like an inconsistent behavior that is hard to explain. 

The expected behavior is that assigning a value not in a category will always raise a ValueError Exception whether the assignement is in an existing index or in a new index. 

#### Expected Output

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

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.7.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 12, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 1.0.3
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 20.0.2
setuptools       : 46.1.3.post20200330
Cython           : 0.29.15
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.5.0
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.1
IPython          : 7.13.0
pandas_datareader: 0.8.1
bs4              : None
bottleneck       : 1.3.2
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.5.0
matplotlib       : 3.1.3
numexpr          : 2.7.1
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : 1.3.15
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None
numba            : 0.48.0

</details>
