minor inconsistency in Categorical.remove_categories error message
mypy error: `pandas\core\arrays\categorical.py:1125:13: error: Incompatible types in assignment (expression has type "List[Any]", variable has type "Set[Any]")  [assignment]`


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

```python
Python 3.7.4 (default, Aug  9 2019, 18:34:13) [MSC v.1915 64 bit (AMD64)] :: Anaconda, Inc. on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> import numpy as np
>>> import pandas as pd
>>> pd.__version__
'0.26.0.dev0+537.gd2bc6a497.dirty'
>>>
>>> cat = pd.Categorical(["a", "b", "c", "a"], ordered=True)
>>>
>>> cat
[a, b, c, a]
Categories (3, object): [a < b < c]
>>>
>>> cat = cat.remove_categories(["c"])
>>> cat
[a, b, NaN, a]
Categories (2, object): [a < b]
>>>
>>> cat = cat.remove_categories(["c"])
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "C:\Users\simon\pandas-simonjayhawkins\pandas\core\arrays\categorical.py", line 1130, in remove_categories
    raise ValueError(msg.format(not_included=not_included))
ValueError: removals must all be in old categories: {'c'}
>>>
>>> cat = cat.remove_categories(["c", np.nan])
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "C:\Users\simon\pandas-simonjayhawkins\pandas\core\arrays\categorical.py", line 1130, in remove_categories
    raise ValueError(msg.format(not_included=not_included))
ValueError: removals must all be in old categories: ['c']
>>> cat
[a, b, NaN, a]
Categories (2, object): [a < b]
>>>

```
#### Problem description

The error message shows invalid removals as a set or a list depending on whether the removal list contains a null value.

#### Expected Output

consistent message. preferably as a list.

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

<details>

INSTALLED VERSIONS
------------------
commit           : d2bc6a49778407a02f31c40408e8d62cb24e6b64
python           : 3.7.4.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 58 Stepping 9, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : en_GB.UTF-8
LOCALE           : None.None

pandas           : 0.26.0.dev0+537.gd2bc6a497.dirty
numpy            : 1.16.4
pytz             : 2019.2
dateutil         : 2.8.0
pip              : 19.2.2
setuptools       : 41.0.1
Cython           : 0.29.13
pytest           : 5.0.1
hypothesis       : 4.32.2
sphinx           : 1.8.5
blosc            : None
feather          : None
xlsxwriter       : 1.1.8
lxml.etree       : 4.4.1
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.10.1
IPython          : 7.8.0
pandas_datareader: None
bs4              : 4.7.1
bottleneck       : 1.2.1
fastparquet      : 0.3.0
gcsfs            : None
lxml.etree       : 4.4.1
matplotlib       : 3.1.1
numexpr          : 2.7.0
odfpy            : None
openpyxl         : 2.6.2
pandas_gbq       : None
pyarrow          : 0.13.0
pytables         : None
s3fs             : 0.2.1
scipy            : 1.3.1
sqlalchemy       : 1.3.7
tables           : 3.5.2
xarray           : 0.12.1
xlrd             : 1.2.0
xlwt             : 1.3.0
xlsxwriter       : 1.1.8
>>>

</details>
