BUG: CategoricalIndex.format
- [x] closes #35439
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

I've temporarily put the whatsnewentry in the v.1.1.0 release note, because there isn't a v.1.1.1 version yet. I'll move it, before this is merged.