DEPR: use DeprecationWarning instead of FutureWarning for CategoricalBlock
Follow-up on https://github.com/pandas-dev/pandas/pull/40527

There is no need for end-users to see this warning if an underlying library they use generates this, so using a DeprecationWarning instead of FutureWarning (as we did before with potentially noisy or internal warnings). At a later point we can change to FutureWarning.