BUG: setting categorical values into object dtype DataFrame
- [ ] closes #xxxx
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry

```
df = pd.DataFrame({"A": range(3)}, dtype=object)
cat = pd.Categorical(["alpha", "beta", "gamma"])

df.iloc[range(3), 0] = cat

>>> df
     A
0  NaN
1     
2     

```