COMPAT: remove Categorical pickle compat with Pandas < 0.16
- [ ] closes #xxxx
- [ ] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Removes Categorical pickle compat with Pandas < 0.16.

I've added a ``categorical.pickle`` file to replace the deprecated file. It was create like this:

```python
>>> cat = pd.Categorical(['a', 'b', 'c', 'd'])
>>> pickle.dump(cat, open(<filepath>, 'wb'))
```
