Rename categories with Series
Closes #17981 

head:

```
[ 50.00%] ··· Running categoricals.Categoricals3.time_rank_string_cat         6.39ms
[100.00%] ··· Running categoricals.Categoricals3.time_rank_string_cat_ordered 4.81ms
```

master:

```
[ 50.00%] ··· Running categoricals.Categoricals3.time_rank_string_cat         137ms
[100.00%] ··· Running categoricals.Categoricals3.time_rank_string_cat_ordered 5.14ms
```